I'm in Ontario as well. Over the last year I've ordered from quite a few US stores, including AdultDVDEmpire, AdultDVD.com, AdultDVD4Sale.com and Xrentdvd.com (strangely, not CD Universe....yet). I've also ordered from a few European stores. Every shipment has arrived safe and sound and nothing has been seized by customs - mind you, I haven't ordered anything super-extreme either. No watersports, torture, etc. - so not sure if those would get seized. Apparently there is a list of DVDs banned in Canada out there somewhere but not sure how up to date it is or how strict they are when it comes to enforcing.
As far as duties, I would say out of 20+ orders I've received, 3 have been charged a duty fee, which is annoying, but no big deal. I think if you order US$50 or less worth of merchandise the order is exempt from duties; anything higher and you might get dinged. But really, it's a crap shoot. I've ordered stuff over $100 and not had to pay, so you really won't know until it arrives. But even if you don't get charged duty, there's a good chance customs will open the order to inspect (this doesn't bother me but not sure how you feel about it), but I've never found anything missing or damaged.
Oh, and keep in mind when ordering outside of Canada, some stores don't ship DVDs in cases, just the sleeve and the artwork. Again, this isn't a big deal to me but if you care about such things pay attention when you order - there should be a mention of this at the checkout).
Hope that helps.