My son and I just returned from a great convention in Stratford, ON - Hot Lead. We really enjoyed ourselves, caught up with some old friends, and found some great bargains at the Bring&Buy. It's smaller than some conventions I've attended (Historicon, Fall In, Cold Wars) and larger than some (MIGSCON, the abortive Lehigh Valley gaming convention.) There were lots of games going - RCW, Alexander vs. Indians, Lexington, WWII aviation - all nicely laid out.
You'll see some of the purchases once they're painted or used in a game. I even got my wife a new Sherlock Holmes/Dr. Watson set for her collection!
If you are in southwestern Ontario at this time next year, consider going to Hot Lead. It has never disappointed.