Buying a tesla coil?
I Am Not A Lawyer nor Tax Attorney. Definitely not in Germany.

However:


Make sure it's marked as an experimental hardware not authorized nor intended for use in domestic environment by unqualified personnel. This way you stay clear from the CE directive which such device will never pass
It's definitely legal here in Poland, and in UK, so I'm pretty sure it's legal in Germany as well. 
If in doubt, have customs classify it as a lab transformer.