My BIL recently purchased a used Honda Pilot in North Dakota. He found it very easy to do but you have to make sure you research the US export and Canadian import rules. He saved thousands compared to what he could get the same vehicle in Canada.
Honda in Canada does not cover the warranty of Honda vehicles from the US. I don't know why but I know other manufacturers do.
With the high $, I've also been considering doing this. Vehicles that I have looked at on US dealer websites are way, way less compared to here.
The website CanadianGuy posted is also the one I have been referencing for details on how to do it.
From my understanding, before you can bring the vehicle across the border, US customs must have the paperwork (title, bill of sale, registration, etc.) for 72 hours. Once that has passed, then you can bring the vehicle into Canada. At Canada customs, you fill out import forms, show recall clearance letter, and pay GST. Once in Canada you must get a federal inspection done, which Canadian Tire has the contract for. After the inpsection you will have to get any modifications done like daytime running lights before it will pass inspection. When you receive the federal inspection stickers, you can then get a provinicial inspection done, and then finally license it in your province where you may or may not have to pay any provinicial sales tax depending on where you live.
That certainly isn't a detailed explanation but check out the websites, talk to other that have done it, or find an importer that will do all the work for you.
Good luck!