In the U.S. there is an area of vagueness in the law that (sort of) allows importation of medications for personal use. People go across the border into Canada and Mexico and bring back medications, which they are supposed to declare to Customs. Apparently it happens all day every day.
Mail-order importation is also done but seems to be more likely to result in the order being seized. Of course, in both cases, narcotics and steroids are a no-no. An antibiotic medication I take to keep Lyme disease in check costs 20 times more in the U.S. than in the world market so the motivation for improting is prety easy to understand.
Dave