We have one and we do ship a lot of stuff there (our house is literally a 3 minute drive from the VT border), but it depends on how much less the item is to start with; we're usually $10-15ish more here before tax. In the case of games, especially at full price, we have to pay whatever the US place charges, the exchange rate which is pretty awful at the moment, plus the duty at the border. They charge for anything over $50, which almost all new games are. For a game it's not that much, but it still adds up. In the end we end up paying more that way than buying local with Quebec's 15% tax. If it's cheap like a book or something on sale it's not a big deal. In our area it's very difficult to find english books because our mall closed the last english bookstore 5+ years ago. Even when it was open Amazon was still cheaper. So unless there's something I really want, I wait for prices to come down.
Lol, oh god, the games I want? That's a long list xD The biggest are Batman Arkham Knight (comes out Tuesday but I'm waiting), Witcher 3, Uncharted 4, Kingdom Hearts 3, Rise of the Tomb Raider, Until Dawn, Hitman, and Unravel.