We're looking at doing this as well, although likely not until 2013 since we'll make it part of our summer vacation down to the US.
In my research, one of the really big things I've found is that you don't really want to just do a price comparison based on the MSRP. In Canada, negotiations tend to focus around the MSRP, but in the US, negotiations tend to be based more on invoice. Try
http://www.edmunds.com/ to see what US prices can typically be negotiated to (by region) and you'll see the significant difference, even when you take into account what you could expect to negotiate up here.
The
aforementioned thread on RFD is a fantastic resource, as is
http://www.monsieurmaggot.com/Autoimporthome.html (as well as many of the other links mentioned above).