I also looked into importing a GTI from the US into Canada. I would say, No. Here is why (I asked two WA based VW dealers): They were told by VW US not to sell to Canadians. So, what the dealership does to discourage new VW vehicles sales to Canadians is to require them to register the vehicle in the state where the dealership is located. So in the case of WA, you will have to pay WA registration and insurance plus the WA sales (8.5% or more, I believe. It varies from one county to another). So, even though a Golf or GTI sells for a lower price in the US, all the other duties, brokerage, importation fees, HST, inspection, retrofits, etc. that ROASTPUFF mentioned just adds to the cost making it not worth the hassle. Mind you, you do not pay duties if the vehicle you are importing is made in Canada, US or Mexico (i.e. NAFTA trade agreement). The Golf is made in Germany so you will get charged 6% import duties at the border.
Also, VW USA offers only 3-years of bumper to bumper warranty. VW Canada offers up to 4-years of B-to-B warranty. You need to factor this in, as well.
So, I decided to just purchase my GTI locally. Another minor plus side is that I am also helping local business.