Cross border shipping seems to be annoying for everyone. I look through the For Sale section and continuously see people that refuse to ship to Canada, even if I offered to pay more for the extra shipping charge/hassle. Amazon.com even refuses to ship some items to Canada, and those items usually are not available on Amazon.ca
I am fortunate that I live close to the border and can make use of a parcel pick-up company in Michigan. I order something and put the company's address down for the shipping destination. They email me when it arrives, I cross the border, pay them $5 per box, and take the package home with me. I then only have to deal with declaring it at the border when I return to Canada. Depending on what it is, how much it cost, and how many people are in the vehicle, I may or may not have to pay duty.