From experience I can tell you that it is cheaper to buy from Canada for those of us here in the USA.
I can also tell you that there are many dealers that will indeed sell to U.S. customers. I have yet to run into one that won't.
Last year I spent a lot of time tracking down sleds up there. I called many dealers, and many sleds being sold by private owners. I must have talked to at least 10 dealers and they were all more than willing to sell me a new sled. However, eventually I ended up buying one through private sale.
On my way up to look at the sled that I was interested in (the one that I own now) we stopped at a dealership. They had brand new Polaris 500's for $5300 Canadian. At the time it was about $3400 U.S. . Not a bad deal in my opinion.
As for the taxes and such....I bought mine private sale and there were no taxes at all. I just got a bill of sale and the registration card from the owner and they phoned it in when I got to customs. Everything cleared and I was on my way. However, you do have to pay tax once you get it registered here in the U.S. (at least here in Vermont you do).
Now, like I said, this was last year so I may have forgotten a couple of things, but this is how I think it works if you buy from a dealer. They have two taxes called the PST and the GST. Basically its like our Fed and State tax. I am not sure which is which, but one of them is 7% and the other is 7.5%. When you get to the Tax return place inside of the Duty Free shop they will tell you that they you can only get the 7% tax back and in order to do that you need to have the sleds registered. They said that they use the reg as a statement that you did not buy them just to bring them across the border and make a profit off them.
I guess the only sure fire way of knowing how it works is to call you local customs office and talk to them about it. This also will help to make sure you have all of the proper paperwork in order for when you come back across the border.
Good luck.
-Josh