In order to get a better idea of the amount of premium there are on Canadian GW prices I decided to take some US and Cdn prices at random and compare then based on the exchange rate posted today from the bank of Canada. Here is the result (click for a larger version).
On average the Canadian price is 20% above the current exchange rate. So you’re being asked to pay a 20% premium to shop in Canada. Now to their credit this appears to be getting better. The Dwarf Battalion box for WFB is fractionally odd the exchange. But GW has a huge catalogue of products that are not properly priced in line with the exchange.
So, for example, if you wanted to buy the Chaos Space Marine Megaforce from a US online retailer who offered you a 30% discount on the US price you would be saving close to 60% over the Canadian price.
Why would you but from a Canadian retailer if you knew this?
Update: I went back and looked at the prices for some of the recent Space Marine releases (and updated the image above as well) and as you can see those prices are much better than most of the other samples. The Space Marine Battleforce is only 3% off of the current exchange rate and the Close Combat Terminator box is actually cheaper than the exchange.
So it appears that for new purchases the exchange is almost correct. So for new GW purchases you might not be paying any premium over US prices.
But older items are still not in line. The Imperial Entrenchment box is 57% higher than the exchange. The Epic Eldar Warlock Titan is $10 more that the exchange rate. These need to be fixed.