I'm in this game too. Finally decided I was old enough to treat myself to a high end car and I'll be going to Sweden next month to pick up a new Volvo XC60. We'll drive it around western Sweden for a bit, then turn it in and let them ship it home for me.
Volvo's Overseas Delivery (OSD) program is really amazing. Not only do they give you a sizable discount from MSRP, you also get two free SAS tickets to Sweden and a night in a top hotel. Plus the free shipment and no dealer prep charge.
We'll be spending a few days in each of Copenhagen, Gothenburg, and Stockholm, so it'll be a fun trip, even in March.
But the "blow that dough" aspect is that it will be roughly twice what my last car cost. Doesn't bother me a bit, since I feel I've reached the age when I'm allowed to do what I want.