Some dealers in the US have reportedly been told by BMW NA to not sell to Canadians. Contact a dealer first.
Next, check the Registrar of Imported Vehicles website http://www.riv.ca/
to ensure the model and year you want can be imported.
Confirm with BMW Canada that the warranty will be honoured.
Finally, expect to pay GST, PST and duty (you may have to pay duty even if it is a US built BMW - check with Canada Customs first). There will be a $100 excise tax for A/C.
You will also have to decide whether to drive it or ship it back. If you engage a shipping company they'll handle all of the border stuff for you. If not, you have to have your ducks lined up for both US Customs and Canada. I believe the US side of the border crossing has to have certain export paperwork in their hands 72 hours before you cross.
Make sure you research thoroughly the costs and effort before you try this, as you may find that some of the extra cost is well worth saving yourself the PITA that bringing it back could cause.