What I usually do is place a HUGE order from bodybuilding.com (generally most items are 40%-60% less than if you were to buy it in Canada) and have it shipped to a mailbox that is just across the boarder, in my case Buffalo. Therefore I don't have to pay the high shipping rates for Canada.
The website for these mailboxes is
CBI USA | US Mailbox Rental & US Shipping Address Services where you can ship items there for around $6 per package and can be held there for a really long time, or until you're ready to pick it up. Then I take a 1.5 hr drive to Buffalo (usually with the girlfriend because she likes to do some shopping across the boarder and pick up all my supplements. I generally save around $200-$350 depending on how big the order is, which I think is worth it.
The only time it wouldn't be worth the drive is if I get stopped by customs and they make me pay taxes on it (which hasn't happened and I've been doing this for a while now, knock on wood)
LD.