Yep...you really need to live within an hour or so of the border to make US tire shopping worthwhile.
I still price out every tire purchase in the US, just to make sure. I have bought a couple sets over the last few years as on some particular tires, the savings are substantial. I've found that on performance tires and larger sizes, the US pricing, even with shipping, is hundreds less.
That said, some Canadian retailers are getting more aggressive, notably Costco on some brands (their Michelin prices still seem really high to me, but Bridgestone seem much better). Combine that with their seasonal instant rebates, and this year I matched US pricing on the WS-70
without shipping.