The problem is that many places calculate shipping costs by rounding the weight of each item up to the next whole pound, adding them up, and looking the shipping costs up in a table. With this system, you probably make out better ordering one heavy item instead of many light items.
But also remember that the cost to ship something is more than just what you pay UPS.
For most businesses, shipping price usually factors in the cost of the boxes, packing materials, and the time it takes an employee to pack it up and physically deliver it to the shipper (assuming they don't come pick it up).
With that said, I ordered two tornado spinners back in january and I remember the shipping cost was definitely on the high side (even with all the above taken into account). But, when they are the only place that sells the item you want, you don't have a choice.