Having a second job might push you up into a higher tax bracket, which would raise your marginal tax rate. At the same time, it might result in you paying lower payroll taxes if you are close to the cutoff point.
For 2009, the second federal tax bracket (a 22% marginal rate, up from 15% below this point) starts at $40,726. For CPP contributions (a 4.95% marginal rate if you work for someone else), you stop making contributions above the $42,800 threshold. EI contributions (a 1.73% marginal rate) stop above $42,300. So you see, if a second job pushes you over $40,000, although your marginal federal tax rate goes up, this get partially offset by the decrease in your payroll taxes (CPP and EI premiums). I haven't talked about provincial taxes because I don't know which system would apply.
If you do take a second job, you should take your other income into account when filling out the required tax form (I forget its number). Basically, if you don't your second employer might withhold too much tax, CPP and EI. This overpayment will be refunded when you file your taxes, but it is much better to tell payroll to withhold less tax, CPP and EI rather than give the government a zero-interest loan.