Getting tanks across the border is no problem - it's not something border officials are concerned about. Perhaps the next question is steel or aluminum. I originally thought that aluminum 80s would be the best bet but I've read several threads in which people are touting the virtues of steel. I'm interested in some more opinion on this and why.
In cold water, the steel tanks, which are less buoyant than aluminum tanks (a generalization), allow you to remove a good amount of weight from your belt, yet many of the tanks themselves weigh about the same as an Al. tank. Less weight to lug around.
Steel tanks outright win from a capacity standpoint... the biggest aluminum tanks commonly used are 100cf, and frankly those are rare. The common Al.80 only holds 77.4cf of gas, oddly enough. Steel tanks commonly hold considerably more... 80, 95, 100, 120 and 130cf are all popular sizes.
In cold water, the advantages of steel tanks are real and clear. In warmer water, steel tanks can end up causing a diver who doesn't need much weight to begin with to be overweighted, so the aluminums actually have an advantage, despite their relatively small capacity. In addition, when doubled up with a thin wetsuit, the extremely heavy weight of steel tanks would require supplemental lift, in case the primary wing failed. Aluminum doubles are helpful in avoiding this as well.
And finally, with both tanks cared for properly, a steel tank will outlast an aluminum tank... Al. tanks occasionally (but rarely) last as long as 20 years. There are many steel tanks first put into service in the 1940s (and earlier) which are still going strong.