Does anyone know the rules/risks of living in the U.S. and buying the car in canada? Whats to prevent me from saving money and registering the car in the U.S.?

Canadian and US Government regulations are not identical - they differ in bumper requirements, emissions, daytime running lights, ID stickers on body panels, etc. Mazda doesn't build a common car for both markets. For example, a US Miata can't be registered in Canada without replacing bumper substructures and installing the DRL system and replacing the speedometer face (km/h vs. mph). I don't know the specifics about taking a Canadian RX-8 for US registration, but you can't assume it meets all gov't requirements, you'd have to verify that.

Other big point - many of the car manufacturers do not like the practice of buying Canadian market cars and registering them in the US, and are now denying warranty coverage to those vehicles (Honda and Chrysler, for example). There would be a chance that your Canadian car would be denied coverage on a warranty claim in the US.

Regards,
Gordon

...and beyond that there are importing duties/tariffs (what, free trade?), and even more obscure legal regulations that i don't know anything about, which would also be certain to bite you in the ass...

bottom line: i'm sure your American law makers went to a great deal of troubel to ensure that importing a car from Canada will cost you nearly as much as one from your local dealer, with far more trouble.