I'm in the process of buying a new (used) vehicle and, as an Ebayer located in Canada, am amazed at how much cheaper vehicles are in the USA!  Actually, it's not that difficult to purchase a vehicle and have imported from Canada if you follow these steps:

1. Transport Canada Regristrar of Imported Vehicles (RIV) publishes a list of vehicles (cars, trucks, SUV's) that are eligible to be imported from the U.S. into Canada.  The list can be downloaded from their website (riv.ca).  Check the list to see if the car you want to import may indeed be imported.

2. You will need a compliance certificate from an authorized dealer or the car company's head office with respect to recalls and if the vehicle you are purchasing has been involved in a recall.  This letter must be on official stationary and must be presented to Canada Customs when you cross the border with your new vehicle.

3. U.S. Customs needs 3 days notice of any vehicle that is going to be exported s you'll need to know the exact border crossing and contact them in advance to determine documentation that they require. 

4. Once on the Canadian side you'll need to produce the complience letter from the dealer/manufacturer, pay the RIV fee of approx. $206, $100 air conditioning tax if your car has air conditioning and GST.  You'll be issued a vehicle import form that is valid for 45 days.  Within this time period your vehicle must be inspected and any modifications made to meet Canadian standards (if there are any at all).  Once this is done you will need to go to the ministry of transport to get your Canadian owner's permit (and pay the applicable sales tax).

I hope that this has been helpful!