Here's a forum thread that may help you:
http://forums.redflagdeals.com/wow-new-used-cars-us-up-30-cheaper-read-post-1-a-307601/Be sure to read the latest posts as the information changes all the time.
It is getting harder and harder to find a dealership willing to sell new vehicles to residents of Canada. If you don't mind buying something slightly used (like demos, etc..) you will have much more options.
Warranty coverage varies across all manufacturers. If you buy a Toyota, your vehicle will be warrantied in Canada. Honda on the other hand absolutely not. Also, prices of vehicles up here have come down a bit reducing the amount of savings that can be realized. Also, high end loaded vehicles give you the most savings. It may not be worth the small savings (if any) from buying a cheap economy car in the states.
When I purchased my SUV in Seattle, I saved almost 20 grand. I was lucky as our dollar was quite high at the time and I was eligible for all the rebates and incentives which is not the case now.
Do your homework and price out the cars here. Personally, unless I can save over 4 grand, I would rather buy my car here.