Digikey shipping charges $8 which is about as good as you are going to get. There are some stores in the Toronto region, but they are only good for ones and two of things you really need at the moment. Otherwise they are more expensive than mail order from the States.
Mouser shipping tends to change back and forth, but I noticed they have a USPS $8 shipping option to Canada now.
In generally it's best to make large orders of things to reduce the percentage cost of that extra few dollars you are going to have to pay for shipping to Canada. No matter what you do you'll save money over ordering anything that's local. Also the local B&M stores have a pretty limited selection beyond the basic passives.
Futurlec.com is a good option if you want some basic stuff. $4 shipping and I've never had to pay Duty or Taxes on top of that. You just have to wait at least two weeks to get it.