To their credit, the official Canadian licensing bodies are brutally honest about the obstacles facing IMGs in Canada. Nothing I can write can be clearer than the following direct quote from Health Canada:

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POSTGRADUATE MEDICAL TRAINING

Passing the relevant examinations of the Medical Council of Canada does not necessarily mean that you are eligible for a license to practice medicine. In most provinces, graduates of foreign medical schools are required to have two to six years of postgraduate medical training at a Canadian university and must pass the appropriate certification examinations of the College of Family Physicians of Canada or the Royal College of Physicians and Surgeons of Canada. However, some provinces have a form of provincial licensure for under-serviced areas.

Not all medical schools participating in the matching service accept graduates of foreign medical schools into their postgraduate medical training programs.

To register with the matching service you must have passed the Evaluating Examination within five years prior to starting a residency. However, the results of the September Evaluating Examination are not announced until after the deadline for registering with the matching service.

Some provinces have pre-residency training for permanent residents of the province who are graduates of foreign medical schools. The contents and length of the program varies in these provinces.

In 1997 only 8% of graduates of foreign medical schools who applied to CaRMS were successful in obtaining a postgraduate medical position. Of the 1,214 postgraduate training positions in the 1997 match, only 16 or 1% of the positions were matched to graduates of foreign medical schools.

The above article in easy-to-grasp picture form: The Canadian IMG's Sisyphusean Steps to Nowhere

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Let me begin by summarizing my personal opinion. There is only one reasonable option for Canadian IMGs without a US work permit. Pass USMLE Step 3 and find a US residency that will sponsor you for an H-1B. SIMPLE AS THAT, END OF STORY. As hard as this route is, it is at least entirely realistic. Every other option entails a very high probability of wasting years, much money and getting nowhere - you'll simply be joining your fellow IMGs in Canada driving taxis and delivering pizza. What are these other "options?"

1. Trying to find residency in Canada:

The worst. It a least entails taking a year off to pass the exams. After that you'll be joining hundreds (probably over a thousand) of other IMGs to compete in the second iteration of the match, with the total match rate ranging from 4% to 13% (statistics from the past five years). All this for the least desirable spots that went unfilled in the real match, so obviously you can't pick what you really want to specialize in. In Ontario you must be accepted to and complete a one year training program before even getting the chance to go thru the so-called match. You'll also be competing with a hundred Canadians who went to Irish medical schools, which are a whole lot more prestigious than Caribbean. Actually unlike the US where we are IMG royalty most residency directors in Canada will have a laughing fit when you mention your "Harvard of the Caribbean" medical education. OK, anyone actually considering this after spending all those years and money on medical school is not normal and I really have no further advice for that person.

2. Getting the J-1 visa

This would be a very interesting dilemma if you could actually get it: on the one hand it would virtually guarantee a residency spot in the US, on the other hand at the end of the four years your troubles would really start, trying to get licensed in Canada and having to live in the Northwest Territories or something. But, actually this option is a lot simpler because your chances of getting this visa as a Canadian citizen are slim to none, and you know where slim just went. Simply put, you might think you can fulfill the criteria required, but actually you can't. Even if you get a contract/letter of intent to hire from an approved Canadian hospital in the specialty you're applying for, most US residencies are not approved by the Canadian Royal College, which is another requirement to begin the J-1 process. Most Canadian residencies are a year longer than in the US. While all this is going on you also need to sign the contract with a US residency before applying to get the J-1 letter of support, so you'll be missing chances to interview at a possible H-1B residency. OK, maybe this can be done by taking a full year off but I don't see how. Very few US doctors, I mean real doctors who did undergrad, med school and residency at Harvard or equivalent, can get their education approved in Canada at the licensure level without major problems. All this is subjective, I'm sure some people will say J-1 is a reasonable route, and maybe the requirements  will change in a few years. But I'm real sure that getting licensed in Canada will remain a big problem. Every year some people get J-1 sponsorship (I got a letter from an underserved Ontario hospital for psychiatry), who knows how many actually try, but it's a fact that you can get it but still have problems returning to Canada, since many residencies are shorter in the US.

To summarize: I personally don’t believe it's possible to get J-1 sponsorship from Canada. The system seems to be in place, but as hopeless as I felt with H-1B this is way worse. Good luck getting a contract in an approved specialty, in an approved hospital, 5 years in advance. More importantly, I personally know a lot of Canadian citizens that have tried and failed to get J-1s and are now here on H-1B (having lost a lot of time). You can always try, but currently there is a strong bias against letting extra doctors into Canada. Take a look at the fun list of requirements you’ll need to get it. Finally if you do get the letter of need, you stand a good chance of having to sit out 2 years after finishing your residency, because getting a license in Canada is next to impossible. If you don't believe me click here.

3. Other 

You can go to UK and Ireland, or somewhere else, to do residency/fellowship training. This cuts you off forever from both US and Canada. US doesn't recognize non-LCME graduate training, and in Canada the fact that you went to a foreign med school before doing a residency at whatever fancy institution will stop you cold from returning to practice back home. Even when you do your entire medical school in UK coming back to Canada is no easy proposition.

Overall no matter where you do you residency you chances of eventually getting licensed in Canada for independent practice are very small, as things stand right now. Really, the only option is to get your US residency on an H-1B, once you finish it you are in excellent shape, this residency forever entitles you to licensing in every state and in most of the planet, all you need to worry about is a work permit / green card which is not all that problematic. So you better start thinking of doing your residency and practice in the US long before your interviews and graduation and ignore the other options.

There are at least four special problems I can see for FMG Canadians: