To buy ammo in Canada you need a Non-resident Firearms Declaration (obtainable at the border) or a Canadian Possession and Acquisition License (or PAL) -- the PAL is a pain to get but it is shall issue if you pass its requirements.
http://www.rcmp-grc.gc.ca/cfp-pcaf/fs-fd/visit-visite-eng.htm A PAL & NRFD are registration and/or licensing documents only - not carry licenses (Authorization to Carry) or transport licenses for legal handguns (Authorization to Transport). Ammunition in Canada is similarly priced to the US. Also bear in mind the Canadian dollar has slightly more value than the US dollar now so you wind up spending more money than you save.
Do not even THINK about bringing, let alone buying ammunition in Mexico. There is also the small detail of importing it back into the US. I used to travel to Mexico frequently and I would spend a great deal of time combing through my bags and vehicle looking for spent casings and spare rounds. Yes, a spent casing can get you in trouble south of the border as well. There is a way to legally bring weapons and ammunition into Mexico, but you have to plan it well in advance - I have never tried nor would I.