I live outside the US (Canada, but still) and I find Theory 11's shipping prices are not very different from most other online stores. As always, it helps to order several things instead of just one, and to pick the medium priced option rather than the fastest or the cheapest. Shipping usually includes the cost of materials as well as the cost of actual transport, so unless you're a huge company getting big discounts on these things, it's going to add up.
As a number of people have mentioned, it's worth it for the quality of the products. I have just watched a competitor's DVD and while the information was useful, the music was cheesy, the angles of the shots were often unhelpful, the sound was weird and overall it just wasn't polished. The Theory 11 products that I've purchased, including downloads and DVDs, have been very well produced with the needs of the magician (especially the inexperienced or novice) in mind.
I also find that the products are well packed and well shipped--not just stuffed into some box that was lying around, and sent through some obscure pony express shipping company. All in all, I'm a pretty happy customer.