It is completly legal for a manufactuer or a distributor to transport alcohol from one state to another. This is almost always done by an 18 wheeler. The driver has to have the proper permits to do so though.
It is only illegal when an individual purchases large quantities of liquor in a state where the taxes are lower and resells it in a state where the taxes would be higher. It's a type of tax evasion and the legal ramifications can be very serious.