A lot of the US retailers do ship to Canada now. Nordstroms does, Neiman Marcus (also high end) does. I'm not sure about Macy's, but a quick visit to their website would tell you.
I haven't done this myself, but my sister who lives in Texas does her boxing day shopping this way! Mind you, it is easy for her to return items also as she can take them back to the stores themselves. Shipping to Canada, you'll have to pay duty and returns are more inconvenient, so you'd probably want to be really sure its what you want. Not sure if it is worth it for us Canadians.