I also think it depends on the manufacturer, I know dewalt will warranty their tools no matter where you bought them.
With that being said however I know that many won't honor a warranty on a product unless it is purchased from an authorized retailer. I have to ask: will the purchase be made from the US and be brought into Canada? I also know that many won't honor warranties for items bought in other countries. In these cases you have to send the item back to the repair depot in the country it was orginally purchased.
You can also purchase warranties from ebay/paypal and if you use a credit card they often have warranties as well.....