Depending on where you live, shipping to the border is generally much cheaper, keep that in mind. Ship it to a border holding service, head down and cross the border, pick up parts for a small fee (I pay $5 a package), cross border and pay GST (or don't, your choice), enjoy parts without getting gouged on shipping and brokerage fees.
For me being in Calgary it's an 8 hour round trip to the Sweet Grass border crossing, on a day off I head down, one tank of fuel and 5% GST makes it well worth the drive. I generally ship a bunch of parts at once so the trip vs shipping is cost effective and I can realistically say that I've saved about $5K on my build by not shipping across the border.