Since someone mentioned the TSA and liquids... I saw a passenger once at a U.S. checkpoint, coming home from an international journey into ORD T5 and connecting to a domestic flight at ORD T1, forced to abandon a duty-free purchase at the checkpoint. He had bought a bottle of whiskey in a duty-free shop abroad, but when he exited security at T5 he couldn't get back through security at T1 with it. He didn't have another bag to check it in with his airline there, so he had to basically hand it over to the TSA. Hopefully they had a nice afterwork party with it.

In other words, before you buy duty-free abroad, make sure you really can get it all the way home per whatever security requirements lie in front of you from the purchase to your home. In the case of the aforementioned Chicago passenger, he had access to his checked bag at customs in T5 and should have buried the bottle in his luggage right before putting it onto the belt to be sent to his domestic flight.