Every experience I've had at the Canadian border has ended the same way. It's so ironic that you have to laugh.

Going to Canada: (where we're NOT citizens)
Canadian border guard peeks head inside window. "Where you going, eh?" We say "Vacation to the falls/Toronto/where ever we're headed at the moment"
"Alright, have a good time, eh?" while looking quickly at our I.D.

Coming back to U.S.: (where we ARE citizens)
I won't take time to type it. Just go watch a Dirty Harry movie. Yes officer, you caught me. I went to the Hard Rock Cafe' and Niagara Falls on a training mission. The Mighty Canadians are planning to sweep down from the Frozen North and subjugate us all. I am their willing servant. They promised to let me stay south of the Arctic Circle. I am teaching them how to not say "Eh" at the end of every sentence, eh. Damn. Busted again.

Do you Canadians get the reverse? Hassled going back to Canada?