The exchange rate isn't much of a factor - since you're paying for goods in CAD$ anyway and purchasing power isn't hugely different. Some categories are considerably more expensive, like your internet bill, but for most people (and at the incomes in consideration) it's a rounding error.

Tax rate-wise (at the range of incomes we're talking about, which is to say mid 6-figures) you'd compare favorably to income-taxed states like CA, NY, or NJ. In particular whole categories of spending either go away or are greatly reduced due to the presence of things like universal healthcare, which adds to the competitiveness of disposable income. When I lived in NY I did a quick modeling of what my taxes would be like for the equivalent income in Canada and it shook out to basically even.

In comparison to no income tax states like TX the situation is considerably less favorable, though depending on your life situation there might be factors that nudge you in Canada's favor (high healthcare spend, high private education spend, high college tuition spend, etc.)