When traveling, I noticed at McDonalds in Alberta, the people frequenting it were very well dressed in comparison to what Americans wear at Mcdonalds in the States.
The cost of living in Canada is substantially more than in the States. Many Canadians we met on that vacation indicated they'd move to the States in a heartbeat if they could.
Personal tax rates are higher all told too. Each province has a hefty income tax, and there are provincial sales taxes (except in Alberta.)
As far as they moving to the States, I think it's a matter of the grass looking greener on the other side of the fence Some do, however; during the Chretien years, there was a veritable exodus of computer professionals to the States.