Here is a very relevant article: http://www.mondaq.com/canada/x/227546/tax+authorities/Hitting+Dingers+But+Not+Getting+Dinged+A+Look+At+Taxation+Of+Professional+Baseball+Players+In+Canada
Tax is almost always brought up by American media when discussing free agent contracts and the perception is much more damaging than the reality I think. I remember AA saying once that they did their own look at the tax situation for all mlb teams and they thought they were around 20th in the league in terms of the how much players would pay. Not great, but certainly not as bad as the media often mindlessly says.
Even though Arizona is also a good tax state, I doubt the Blue Jays would ever leave Florida for spring training.