There's an interesting quirk of federal law regarding out of state firearms transfers. It doesn't say anywhere that a non-FFL firearms transfer has to take place in your home state. Only that it has to be between residents of the same state. So you and your neighbor could legally go up to, say, NH, and transfer a firearm privately between you. However, there IS a law that states you cannot import into your state of residence any firearm you acquired outside that state. So, while you could legally transfer the firearm privately out of state (again, only from another resident of your home state), you couldn't bring it back home without shipping it to an FFL in your home state and doing a second transfer.
I know, I know, in effect, it results in pretty much the same thing as just saying "no private transfers outside of your home state". But it's interesting none the less. The only case I could possibly see it as being useful is if you wanted to buy an off-list handgun from another MA resident who has already transferred four guns that year, that you intended to keep permanently at a location outside of the state (like, say, a summer cottage). That's a bit of a stretch, though.