Just in case you had thought of driving over the boarder...
It is illegal for a (Visiting - Don't get technical on me) Canadian to purchase ammunition while in the US and bring it back. Now, if you make it to the boarder without being stopped I believe (???) Canadian Customs will allow you to pass with up to 5K (I think) of ammo.
Werid, but I think that's correct. FYI...If this is total BS I will gladly delete this post.