US restrictions limit or prohibit the sale and export of most firearms, firearms parts, optics and ammunition to Canada and to Canadian citizens travelling back to Canada. Many firearms accessories, especially the more tactical type are also lumped in.
I know because I tried for several weeks to have a rifle scope shipped to me to save $500, and no online site would do it. They were even wise to having it shipped to just across the border and me pick it up.
As for shopping at a physical gun store, it depends if they ask you for ID before you buy something. They will likely not sell you any of the above mentioned items if they know you are exporting them to Canada, as they are breaking federal law by doing so.
YOU are also breaking US law, but not Canadian law. So, it comes down to whether or not you want to break US law, and potentially face the consequences if caught...how you would be caught I don't know.
There are many threads here on CGN and other forums on importing things from the US. As long as you make yourself aware then you can make your own decision. I for one have given up on the prospect of buying things for half the price in the states.