We are about to do just that, and after all the taxes etc. it is still going to be a way better deal that up here.
We were orginally going to buy in Canada but found out why there are no boats around. The dealer told us that with the "recession" they are afraid to order any boats in case they get stuck with them. So you basically have to order one new since there aren't many used, and the wait time can be 6 - 12 weeks. Then you're paying for them to ship it up from the States anyhow, then you're paying your taxes also. Not really saving anything.
Most of the dealers will meet you at the border aswell, so the gas to drive to the border isn't that bad.
I'd much rather buy Canadian, but we've been searching for months now, and with so little flexibility from the dealers up here, its a no brainer to buy Stateside!
Joey