I've been told the US is a little behind. The federal government is covered by privacy legislation, and they are working at protecting electronic transactions. Unsurprisingly, the US is slower at legislating the behavior of private industry.
Canada tends to follow Europe's lead sooner, especially if it will help business. As I said before, Europe has a greater cultural desire to preserve privacy than the US has.
http://www.media-awareness.ca/english/issues/privacy/us_legislation_privacy.cfm