The biggest difference for me is when I leave the range; in many states, unlike Canada, I have the freedom to carry loaded and concealed.
That all depends on the states laws. In most states this is incorrect! You will still need to have a permit to carry concealed. Although, this has become less restrictive over the years, I would still not recommend this as with the terrorist issues in the states, you may not make it home for dinner if you are pulled over

. To date, there are only ten states which is unrestricted for concealed carry.
Back in '97, I was one of few Canadians which had legally acquired a Concealed Carry Permit for New York State. This allowed me to carry concealed once I was in the state of New York. Although this was for the state of NY, it still had restrictions for New York City as no concealed is allowed in that city unless you are law enforcement. After 5 yrs, the state would not renew my permit

. My rationale at the time was that I was travelling in the US to shoot in matches on a monthly basis, and I felt uncomfortable leaving my firearms locked in the trunk for easy theft. At the time, I was a USPSA member, a NRO, a safety officer, and a firearms instructor.
Before you strap on and carry concealed, make sure that you check with the state laws as they all differ!