I just worked as an independent contractor / self-employed - didn't seem worth it for me to set up a company as I didn't have expenses to declare for tax purposes. As an independent contractor you just file Canadian taxes, its pretty easy.

I think vacation policy is all over the map - most probably won't recognize Canadian holidays but if its a smaller startup they may be more flexible. Also worth keeping in mind US companies offer fewer vacation days in general on avg. than Canadian companies.

Overall I would recommend it! Pay is better, complexities are not so bad.