I also purchased an unlocked iPhone 4 from Canada and recently had some problems with the phone that could not be fixed by restoring it. Since I live in Buffalo, NY, Toronto is only about a 90 minute drive away, but driving back and forth and crossing the border is still a pain. I made the drive anyway, because I kept on getting different answers from AppleCare and the Mac Geniuses regarding the policy of exchanging an unlocked iPhone in the US.
A level 1 AppleCare rep told me that a US store would swap it, but I would end up with an iPhone locked to AT&T. A Mac Genius at an Apple Store in Toronto told me that the replacement would automatically inherit the unlock status of the old phone if processed correctly. A Mac Genius at a US store told me that the replacement would work with any SIM card but would then lock itself to that carrier.
I called AppleCare the other day and was transferred to a senior advisor to resolve a different problem, so I asked him about the policy. He said that the iPhone would be locked to AT&T, but you could call AppleCare to have them send a request to the activation team to unlock the replacement. Basically, they would verify that the original phone was unlocked and then approve the request. However, he said that this process can take some time. Alternatively, he said that if you did a mail-in request, the replacement would automatically be unlocked, but there's a charge for that unless you have AppleCare.
I'm not sure what the correct or "official" policy is, but I'm not taking the risk of exchanging it in the US and ending up with a locked iPhone, so I'll still make the drive to Toronto if I ever need another replacement.
Update: I just spoke with another AppleCare Senior Advisor. He was very certain that there are only three ways to properly exchange an unlocked phone from Canada.
1. Go back to an Apple Store in Canada.
2. Advance Replacement to an address in Canada.
3. Regular Mail-In Repair in US (7-10 days without a phone).
Update 2: I stopped at an Apple Store in the US, because my iPhone intermittently does not detect WiFi networks. After consulting with the manager and a few geniuses, they said that they are able to replace it and keep it unlocked. Sure enough, my replacement is unlocked, which saves me a trip to Canada!