In order to use another SIM card in your phone while in Canada, you also need your phone to be unlocked. This can cost money (anywhere from a few dollars to around a hundred dollars). I have also heard that it is illegal in the US (but not positive), it is not illegal in Canada though. The SIM card will usually cost you around $10-20 as well.
Canada also does not have as much competition as the US does for Pay as you Go phone options. If you are going to be in Canada for an extended period, getting a Pay as you go plan may still be less than the extremely high roaming costs. Many Grocery Stores and Gas stations have Pay as you go options ie the Loblaws chain (Loblaws, Superstore, No Frills) has their own house brand of Pay as you Go. Petro Canada also has their own brand of Pay as you Go. Also if you go to any mall Bell Canada, Telus and Rogers (the 3 main carriers in Canada) all have their own Pay as you go brands as well.