In principle, when you import anything from outside your country/customs union you are subject to customs. However, bubble mailers (padded envelopes) very seldom get checked by customs, generally only parcels are subject to detailed customs declarations. I ship a ton of letter shipments to US and besides sometimes tedious shipping times, letter shipments almost never get checked. The advantage for you is double actually: if you purchase small quantities from say an EU seller, Bricklink will automatically subtract EU VAT because you are a non-EU buyer. In principle again you should pay customs (who then charge you your country's sales tax), but as I said, small shipments rarely get caught in the net.
Parcels are a different story though. I am legally required to put a customs declaration on parcels, with clear indication of the value of the contents. On parcel, you would almost certainly have to pay customs duty, but even these customs duties are, I believe, only imposed beyond a certain value threshold.