Hey!
I'm a U.S. student going to a professional school in Victoria.
I've been to Vancouver and people are definitely right about the cost of living. Even typical things like getting food at the store can cost much more than in the U.S. But, as long as you shop around a bit, and don't eat out...it's not that horrible. Probably, you will need to live with roommates unless you are wealthy. Rent, when living with others, isn't so far off the base of what you'd pay in the States.
The theft from cars, and petty theft, etc. is very very true. Just take a look at what's going on at West Hastings to get an idea. I think, if I remember, that there is more prostitution & I.V. drug use per capita there than -anywhere- in North America! However, it's a city that I sure feel really safe in despite that.
As far as the student visa process goes...here is the only site you will need to visit:
http://www.cic.gc.ca/english/study/index.asp
this is the link you will need to "download your application packet (at bottom of the page)"
http://www.cic.gc.ca/english/study/study-how.asp
It can seem overwhelming. But it's fairly straightforward.
a) you need a couple of photos that aren't standard passport size. Good luck with that, I actually ended up having to trim passport photos to size.
b) you need a passport which expires ---after--- your term of study will expire
c) you need a letter of acceptance from your school
d) you need proof of funds. At least $10,000 --more-- than your cost of education per year. This is done through bank accounts, a letter from the school stating you have been granted student aid, credit cards, or proof of income from your parents...bank accounts, etc.
e) you need to fill out the application form carefully, it's only 2 pages but there is a bit to it
f) You only need a --student visa-- which is $125. I recommend sending it to the Seattle CIC office (link on the website I gave you a link to) because they process student visa applications faster than the other locations.
and, of course, you need to apply in plenty of time before you want to go to Vancouver. It can take around 30 days to get your application back in the mail. Heaven forfend there isn't a problem with it, because that can cause even more delay.
Also, be aware that when you get to the border, this is where you have to apply AGAIN for entry into the country! The Border agents will need to check your paperwork, etc. and they are the ones who will actually approve you moving there.
by the way, I strongly suggest that you bring whatever expensive goods you want with you into the country. The cost of consumer goods is way higher in Canada than the U.S. and shipping to Canada is quite a bit. Oh yeah, of course, if you have things mailed up...have them sent by your parents & marked as gifts with a low value to avoid import duty at the customs.
Even simple things like mattresses (unless you are going on craig's list) cost so much more. So, an option might be a one way u-haul..however, even from a bordering state that can be something like $500 one way + mileage. Car rentals tend to be about $220/day with tax & insurance per day but have the advantage of unlimited miles.
Good luck with your move!