I was reading up on this a week or so ago, since I plan on buying a slightly used nismo Z from the US, so far it's cheaper than what I have found here in Canada and also I haven't really found a Nismo Z for sale here anywhere in Qc. Here's the official info from CBSA's website that I read with all the conditions/prices:
BSF5048 : Importing a Vehicle Into Canada
I have a few friends who have done this with STI's I believe. I really don't think it's that much of a hassle, and if you're buying brand new, the sticker price is almost a $10k difference between US and Canada, especially on the NISMO's. Even used, they are quite a bit cheaper in the US.