I shop online at stores like Amazon.com, macys.com, bloomingdales.com, victoriassecret.com, eastbay.com and lots of others. I avoid the exhorbitant shipping charges and the extra duties by using a US mailing service, so that I have a US address.
Places like Package Express (

) in Sumas, WA and the Letter Carrier in Blaine, WA (

) will give you a U.S. address that you can use, and both are close to the border so you can just drive over and pick up your parcels. They charge a small fee ($2-$3) per parcel to receive a parcel and store it for you. The benefit to having a US address is that you ALSO get to take advantage of the discounts and free shipping deals that usually aren't available to Canadians.
For example, when you order something from Victoria's Secret online, the shipping is more than double the cost to ship to Canada (rather than the US) . . . then when the parcel crosses the border, you get charged GST, PST & duties (usually 22% for good not made in USA/Mexico/Canada) and brokerage fees . . . it takes a few weeks to amonth to even arrive at your doorstep and you end up paying a premium for your goods.
If you order using a US address, you can take advantage of the FREE SHIPPING code . . . and when you pick up your parcel and bring it back over the border, the most you get charged is the GST/PST . . . they don't bother to calculate the duties. Sometimes they don't even make you pay the GST/PST and just wave you through.
If you don't want to drive over the border, both services (PE and TLC) can repackage your parcels together (if you have more than one) and mail it to you via USPS. . . you can specify what you want listed on the customs form (within reason) -- in other words, you can list the wholesale value of the items (which is legal) and save on the duties/taxes.
Another reason you wouldn't want a US online store (such as The Sharper Image) to ship to Canada is if they use Fedex, Purolator or UPS as the delivery method. You'll find that these courier services charge a brokerage fee of $30 or so to "walk" your parcel thru Canada customs -- this is ON TOP of the Duties, Taxes and shipping charges . . . it can get REALLY pricey!
I use PACKAGE EXPRESS and have been very happy with their services. I haven't tried THE LETTER CARRIER but I hear it's similar. I know that there are some other similar services around . . . these aren't the only ones . . . so shop around!
Good luck!