Absolutely. I buy almost all of my knives from the US and have them shipped to Canada - Canadian prices and taxes just make it more expensive all-round to buy within Canada.
White Mountain Knives and RNK City Knives are probably my two favourite sellers, both located in the States. I usually buy through their ebay pages, but they have normal web stores as well. White Mountain often has free shipping, or at least very inexpensive options available, and RNK City usually charges 5-8$ Maxmimum for most things I've ordered. Plus they're extremely reliable from what I've seen so far - I've placed probably 15 or so orders between the two of them and haven't had any problems whatsoever. It doesn't hurt that they usually have the best prices out of the ebay sellers, too.
I have had a couple of knives stopped at the border and had to pay customs charges on them, but that's a risk with any expensive item you buy from outside of Canada. Plus, I would have had to pay a similar amount in sales tax anyway if I had ordered them from within Canada.
If you want to buy within Canada, I've had great experiences with S&R knives out of Toronto. Again, I usually order through their ebay store. They tend to have a pretty outstanding selection, and tend to get lots of newly-released knives before anyone else. Their prices are quite good as far as Canadian webstores go (but they can't really compete with American stores in that regard), and shipping is quite good (I think it's 12-13$ for most pocket knives throughout Canada, shipped by FedEx, IIRC).
Hope this helps!
