I often buy online for different items from the US - scuba gear, automotive parts etc
Everytime I do, I use a service near the border and go and pick it up myself. I disagree with the comment about it not being worth it, if you live in Toronto - all it takes is 3 hours for a trip there and back and the cost savings can really be recognized if you make a large purchase. For example, I just bought gear from DRIS. They offer free shipping for orders over $150 - my order was shipped for free and the mailbox service I use charges $5
I leave Toronto with a quarter tank of gas, get my package and fill up my gas tank for 95¢/L
The savings in shipping cost ($20) and fuel really add up...
Orion.ca is the service I use - in Lewiston