I had written all of this up as part of a response to another thread, but after re-reading it I thought that it maybe deserved a thread of its own. Maybe it will help someone in the future who has questions on this sort of topic (that's making the BIG presumption that they will search but oh well).
Purchasing from the US and shipping to Canada can be a real mixed bag depending on how much you end up paying for shipping. As for the taxes (as long as it's just taxes) you're paying that here or there -- depending on how you ship you're also paying a brokerage fee, from $8 (USPS) to $25 (UPS ground, Fedex ground). You may have to pay duty as well, but that depends on the country of origin of the item (of manufacturing/assembly, not shipping). If it's from the US (or Mexico) you don't have to pay duty thanks to NAFTA. If it's from elsewhere you're going to pay duty on top of it (which I think is currently around 4%?)
A tip for shipping stuff with a courier (not USPS) from US to Canada is to NOT choose ground shipping for cross border shipments. Yes it seems cheaper looking at just the shipping fee, but the ground shipping options end up costing you $25 in brokerage fees coming across the border in addition to taxes, duties, etc. Expedited (and other premium options) come with free brokerage and faster shipping -- so you might end up paying $10 more for the actual shipping fee you save money at the end of the day and get it faster. Also the clearance time at the border is generally much faster. I just had a USPS shipped item (Kinesis keyboard) spend over 10 days in customs waiting to be "inspected". I've never had that kind of a holdup with UPS/Fedex because of their time guarantees -- the longest I've ever seen a package held up was one day and it was because of missing paperwork and they directly phoned me to get it resolved.
USPS brokerage fee is flat rate of $8 for anything above $60 (I think, it might be lower than that) and you take your chances at the border when it comes to customs time. Also when using this service, after speaking with the Canadian Border Services Agency (CBSA) if they have any issues with your package they send you a snail mail about it. You can then only reply via snail mail with them -- from what they told me no phone service is available for this type of issue. So if there are paperwork problems or other things in question with your shipment, you can pretty much assure that it will be at least weeks and possibly months to get anything resolved. On this last shipment it took them 10 days to "inspect" my item. They didn't open the package, they didn't question anything in the paperwork. They did however screw up (in my favour) on charging me the taxes ... the package was declared at $280 but they charged me taxes on $218. I'm not about to send them a snail mail to complain about that part of it and will consider it a bonus for having to wait for 10 days for them to get around to doing the paperwork on it

So, in my eyes at least, the smart money is on a proper courier and something above their cheapest (ground) shipping. Hope this info helps others.