Whenever I'm in States, I am always hitting some auto stores or Walmart for oil, the regular prices they have for oil often beat our discount prices and that is with the exchange.
Also they have many more choices when it comes to parts, for example, spark plugs for my Mazda 3 are only available either from a dealer or Parts Source at, get this, $25 a pop and they only have NGKs. In US they have NGKs that are $10 each, Motorcrafts, Autolite and some more. I got Motorcraft for $5 each, so the whole set cost me less than one spark plug in Canada, talk about rip off.
Same goes for brake pads, while I don't need them yet, I've been looking for some deals and CT doesn't carry pads for Mazda 3, Parts Source have Thermo Quiets at $120 plus tax, but no rear pads, that leaves only dealer, which at least is in line with other stores at about $100 each for front and rear. So last time I was in US, I also bought Bendix pads at about $50 each front and rear and they're just laying on the shelf waiting their turn.
With the Canadian dollar so high, I always think ahead of my maintenance schedule and try to find the pest prices for the parts, fluids I need, google is really good for that, so the next time I go to US, I have a shopping list ready.
Also, on my last trip I was able to locate all the auto stores in the area in google maps, I then checked which stores have what I want, NAPA, AZ, AAP, all have pretty good websites, and you can put in the zip codes and it will tell you their inventory. I went really prepared, I did not have to drive around at all, just went to a couple of stores, bought what I needed and I was done.