There has been ridicule here of the perceived stupidity of age restricting the sale of knives. However, as a uk based whisky enthusiast, who sometimes posts in the 'What are you drinking thread?' I have absolutely no problem ordering whisky online and having it delivered to my house. Is this a liberty people above legal drinking age across the whole USA enjoy? Is this not a practice which is prohibited across some states. Do some states not restrict the volume of sales to an address in a specified time period, perhaps on the presumption that the recipient is an alcoholic. This isn't something we bat an eyelid about here in the UK, and sounds like Big Brother, Nanny Government to me.
Depends where you live and what you're ordering. Different states have different laws about alcohol.
Where I live, for example, there's still technically a law that it's illegal to import wine and hard liquor into the state (and only the state government could import), but they don't enforce it. Historically they did, so many distributors don't have routes here.
If you want to order something that the state alcohol board doesn't bring in, you're supposed to have it shipped to an ABC store (our state-run alcohol stores) with a "care of [your name]" and pay the state tax on it at the store, after letting the store know.
The reality is, you can't as an individual unless you're loaded or have a business selling, because most distributors won't send a truck with a bottle or two because it's not worth their time and they'd lose money on it with fuel costs and time—you have to order at least a case, if not more, for them to spend the money on having a truck haul out here.
But if you're ordering from an out-of-state business rather than a distributor, many of them won't mail to here either. Not sure if there's regulations about mailing/shipping alcohol with the USPS or a parcel shipping company like UPS, FedEx, DHL, etc. I haven't tried to find mail-order alcohol though, I just know some out of state places I used to get some things don't ship at all, even within their own city. So maybe it's possible?