I've ordered supplements from the US in the past (though I'd probably put up a shrine to Tim and TC if they opened a Canadian branch) and received them without a problem. Never had a problem with other orders, either; dumbbell handles that hold Olympic plates, books of all kinds, etc.
Edit: Hit 'submit' too bloody early.
All that said, I'd be twitchy about ordering anything illegal across the border. Granted, our security's pretty shitty, but as you pointed out, they can (and do) open whatever the hell they want. Under the current government, that doesn't bode well.