The difference is negligible, and in some states, like New York, the tax rate is higher than in Ontario.
Take the income taxes for affluent Ontarians and New Yorkers. With Ontario Premier Dalton McGuinty’s 2% surtax for those earning more than $500,000, at the highest income bracket, Ontarians currently pay about 49.5% in provincial and federal taxes combined. New Yorkers, meanwhile, pay about 48% after taking into account a federal and state tax. (Those who live in New York City are subject to an additional city tax which would bring taxes closer to about 51%.
http://business.financialpost.com/2013/01/04/will-higher-tax-rates-abroad-have-millionaires-knocking-on-canadas-door/