On my first trip to Europe I bought things for many family members, but I soon learned what a hassle it was to mail things home. I'm now of the Rosalyn school of thought. With the advent of the shipping companies, there's less hassle but more cost. You can be sure they will charge more than the local post office even before adding in their packaging fees.
I try to limit my purchases to things not easily available at home: artwork, small craft items (including costume jewelry), local photo books and calendars, etc. If there's a local specialty you're interested in--like German knives, Swiss watches, Wedgwood or Lladro ceramics--spend some time on the internet before you leave home so you know what you could order easily from home and at what cost. The same with wine.
The V.A.T. refund schemes may make a luxury purchase logical if the merchant will ship for you so you get the refund on the spot, but of course you must be certain the seller is ethical and that you have recourse if the item is lost ot broken in transit. Over the years I've read some sad tales in travel-magazine ombudsman columns: carry-away merchandise can be switched while in the backroom being packaged, and a much cheaper item may be shipped in lieu of what you paid for. I assume nearly all merchants are honest, but I've only tested that hypothesis once. I figured the Liberty department store in London was a safe bet, which it was. The item broke and they replaced it.
I've been known to schedule countries with good inexpensive crafts at or near the end of multi-country trips so I can buy pottery, glass or art and only need to carry the items around for a few days in a collapsible tote bag. I still regret not being able to buy a kilim in Morocco, but there was too much trip left to lug around a carpet.