Millions of people (including me) buy downloads from American sites, and there are few problems. If you buy boxed software however - and that's what you mean - you're going to end up paying import duty and VAT, and that will not make your saving look so rosy.
My advice: Download with impunity, but don't bother with boxed software, get that from Amazon in the UK.
I've purchased books and DVDs from Amazon.com with no problems, but every time I've tried to buy PC kit from them, when I confirm the order I've always received a very politely worded rejection note. Without knowing exactly what you're looking at I can't be certain, but I doubt they'd process it.
I work for Royal Mail and many customers are dismayed when they find import VAT has been added to their item from the USA also the Royal Mail handling charge of £4.00.It very often turns out MORE expensive.