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.
When up in northern BC, we found a small alcove along the highway which was perfect for a picnic. We walked into it a bit and found two picnic tables and a small lake (unmarked on highway) beyond it. We commenced lunch and a fairly large group of Canadians arrived in multiple vehicles. Evidentally we happened upon a "locals" place to meet. They brought canoes and water gear with them. Quite a nice group of people and we made a whole afternoon of it instead of just a picnic. They worked for the railroad and the park service.