This is largely a myth. If you take into account how much money comes out of your paycheck in the States for services that are provided in Canada, the actual amounts are much closer. In fact, at some income levels, your take-home pay would be higher in Canada.

We just have more line-items in the 'deductions' part of our pay stubs, so we spread the dollar amount around more. Largely, it's down to healthcare. If you didn't have to pay for healthcare, your check would be bigger. If your employer didn't have to pay for your healthcare, how much more would be in your check?