I've ordered several of this year's Christmas presents online from the U.S., although none of them has arrived yet, which is a bit worrisome. Nevertheless, the current U.S.-Canadian dollar parity means waiting for Customs clearance is usually worth it.
For instance, I was looking for a particular present that I wanted to pick up today in town. No one had it in stock, despite several stores listing it on their websites. So I went to the manufacturer's online store in the U.S., and they were happy to take my order and ship it expedited to Canada, so that it may very well arrive before Christmas (no guarantees, though). And even with rush shipping and taxes, it was still several dollars cheaper than if I'd found it locally at retail.
My podcast co-host Paul has a post office box just across the border in Washington state (he lives in Cloverdale, B.C., about 15 minutes north of the line) which simplifies things even further: he can order from stores that don't normally ship to Canada at all, then pick up the stuff and deal with Customs himself. That saves him quite a bit of time and money—even when the dollar isn't as strong as it is now.
He does seem to be spending an awful lot more than he might otherwise on gadgets and gizmos across the border these days, though. I don't know if we're saving money in the end, or simply spending on more stuff.