Even when the exchange rate isn't favourable, prices in the US are sometimes much cheaper for the same goods, and it can make sense to buy things there even considering the taxes at the border. I wouldn't make a special trip for it though; I usually combine my shopping with trips I'm taking for other reasons. I also order things online from the States when the price (including shipping and taxes) is cheaper than the price of that item in Canada, or if that item isn't available here (which happens a lot).
In my experience you don't usually pay duty unless you've been gone for less than a day and you're coming back with more than your allowed total of purchases (or if you bought liquor -- I learned that one the hard way...the $20 bottle of wine I bought ended up costing me $45). However, if you declare at the border you will have to at least pay GST and the provincial sales tax (unless your purchases are under the allotted amount. I usually look up the amount I'm allowed to bring back based on how long I've been out of Canada, and just make sure my purchases are under that amount. If you buy in a sales-tax-free state like New Hampshire, this can be a very good deal).
Because I'm a frequent border crosser and don't want to get in trouble, I always declare my purchases. Inspections happen less frequently on the Canadian side than on the US side, but they do happen. One time when we were coming back from a wedding in the US, the Canadian customs agent spent 45 minutes searching through our car, looking at the tags on every item of clothing in our bags and even the ones we were wearing, searching under the seats, etc., trying to find items we might have bought and not declared. I hate to think of what would have happened if we were trying to avoid paying taxes by not declaring things we'd bought; it's not worth the stress. I know plenty of people who do it all the time and don't get caught, but if you get caught once I think you'd regret it.