I looked into importing an E36 US vehicle in some detail when the US dollar was near par with ours. It barely made financial sense then. Being that the US dollar is now around $.82 cent cdn it seems quite impractical, unless you are getting a huge deal. (really??)
A buddy of mine ended up saving some money on a 06 Acura, but it was a big pain in the ass.
I would keep my eyes open for something in Canada IMO