People don't build hydroelectric plants in, say, northern Quebec and suddenly discover that there's all this free energy and no one around to use it. The build those hydroelectric plants and the transmission lines to places (say, Montreal) where people need that energy, even if those lines are 1000s of km long.

The electricity may be cheaper next to that hydro station because you're not also paying for the 1000km transmission line. But your use of that electricity would preclude the people 1000km away from using it.