The only time I bought a book from Amazon.com, it actually came from the States.
In terms of shipping, it doesn't matter where the warehouse is. They'll still charge you US shipping (i.e., no super saver shipping special at $39).
That being said, I love Amazon.ca and use it all the time. I save around 1/3 of the price that stores charge. And sometimes you can even find a real steal, especially if you pre-order (sometimes the initial pricing changes but they usually still honour the price you pre-paid). Not to mention free shipping on orders over $39. Can't beat that.