It is quite rare to be able to pick up a rental car in Canada and be able to drop it off in
the United States... but you may be able to depending on what cities/locations you choose for pickup and drop off - as well as which car rental company you use and the car size!
Although it can be hard to find a oneway car rental from Canada to New York, I know that a friend of mine picked up a car at Avis at the Toronto Pearson Airport (YYZ) and was able to drop it off at the Buffalo Airport in New York State.
If you are looking at picking up a oneway car rental from Canada to New York, based on different cities, I would suggest that you look at trying to get a oneway rental car from your chosen city to Toronto, then the oneway rental car from Toronto to Buffalo, then another oneway rental car from Buffalo to wherever you want to drop off in New York.
You may have to do three (or more) seperate rentals and may even have to search for availability and prices from several companies. I'm not sure what other companies will allow this type of oneway rental... Avis is just one that I happen to be familiar with for this type of scenario...I would check Budget.com as well. (car rental company links open in a new window).
Keep in mind that you will be paying over $100 a day PLUS (before taxes) per rental car. If you have to do three rentals - Even if you are able to pick up the car in Canada and drop it off in New York within 24 hours, you will be paying a minimum "one day" charge on each car... costing you well over $300 just for one day. The longer the rental and the more rental cars you have to take to do the oneway car rental from Canada to New York, the more expensive it will be. Also make sure that you have all the documents required for the border crossing. (passport, rental contract, etc)
Hope this helps!