There's no place like home.
Notwithstanding that, there are downsides to all of the other ones mentioned before.
As a foreign resident, you probably will not be covered under their national health plan, Mexico being the exception, and I hear it's pretty good. This is important as you get older, past 65, as the cost of expat health insurance becomes astronomical. And don't count on OHIP to cover your foreign health costs; you could be wiped out financially as a result.
When you move, especially to a cheap place, you have to make new friends all over again. Your new potential friends will have a different culture than you, not to mention a different language. Otherwise, you will probably have to associate with people who's only common trait being expats... lots of bar time.
Carribean? If you're on an island small enough not to be violent, you will tire of the same old party circuit, and will finally feel the isolation of small island living. A bit like a well-to-do Devil's Island.
New Zealand seems like a nice place. Stable government and legal system. Nice weather and down-to-earth people. Legal prostitution and a pro-gun culture to boot. But sooo far from anywhere. Beware of earthquakes. That would be my first choice, other than Canada itself.
Australia? Lots of crime, and ultra PC. With their semi proportional parliamentary system, somewhat unstable government. Nice people despite that.
Thai people are very nice people... until you really piss them off. They'll then burn your house down, with no prior notice.