They do actually, for a couple reasons: better quality care here in the U.S. and because of waiting periods in Canada.
Case Study: Canadians heading south. But it isn't against the law for Canadians to cross the U.S. border and pay for care they can't get in Canada. In fact, the U.S. has become the safety valve for a foreign health care system that would implode economically and politically without access to U.S. doctors, hospitals and drugs.
On Jan. 16, 2000, the New York Times titled a story, "Full Hospitals Make Canadians Wait and Look South." The article concludes: "As a result, Canada has moved informally to a two-tier, public-private system. Although private practice is limited to dentists and veterinarians, 90% of Canadians live within 100 miles of the United States, and many people are crossing the border for private care."
http://www.usanext.org/full_story.cfm?article_id=19&category_id=4