Going through customs is a bit like a random lottery. It depends on your country laws (maximum value of the item before you need to pay VAT, partnerships with specific countries, is that a gift, etc) and if they select your package (usually randomly, but based on your kind of shipping) to see if you should pay and how much. They then either make you pay at the door, keep the package until you pay or send you a bill afterwards.
My experience is 9/10 times caught at customs with Fedex, 6-7/10 with EMS, and 3/10 times with registered/regular airmail (below that isn't worth it since it isn't much cheaper and waaay slower).
Some websites, like Nin-Nin and Nippon Yassan has a service to avoid customs (basically sending the package to a storage place in europe, and then through amazon or similar), but it's taking between 2 weeks and a month.
Oh yeah, and CDJapan is basically Neowing if you want to see what kind of first press bonuses they usually get.
edit: so usually, if you're caught at customs, you might have to pay 20% of the value of your package (item+ shipping), and sometimes something on top of that because your shipping service (like fedex) had to take care of that for you first.
20% being the VAT value for France and UK for example, but again, depends on countries.