I buy the majority of my supps from the US. I'd do it more frequently if it wasn't for the crazy shipping charges. Most places I buy in Canada deliver for free when you reach a certain price point. Free is much nicer than $50+. Plus you know you're going to get it fast vs the stress of wondering if you're even going to get it.
However, I usually buy a product that I know is not "legal" in Canada from Canadian sources (such as the case with many of Get Diesel products). I pay the extra up front for the piece of mind that customs won't steal my stash and foot me the bill. The extra price is justified in my mind since they were the ones taking the risk in bringing the product in.
I usually get my protein, and small orders in Canada though. It's only worth the hassle to buy from the US when it's in bulk IMO.
My sister and a friend both bought vehicles from the States - a growing trend - this past month. Including all the extra hassles and fees associated with bringing them in, they both saved over $12,000 for identical vehicles in Canada. It's gotten so bad here that many vehicle companies are told to not honor warranties from vehicles bought in the US. (Toyota honors the warranties, Honda claims not to. 3rd party warranties are cheaper than $12,000 though, or you can just have your vehicle towed to the States).
Someone mentioned free health care above...we pay lots of taxes and hidden surcharges. Our health care is definitely not free, lol. It's just that we don't directly pay for it...but we all pay in one form or another.