Remember you're paying that outrageous US customs/immigration/ag fee of $40 or so. If on two separate tickets, you're paying it twice! I've done it a couple of times, back when CP used to have very cheap weekend sell-offs. It was sometimes cheaper to book YEG-YYC-DFW return and DFW-YYZ return than YEG-YYZ-YEG. On occasion I have also seen a NW routing between YYZ-MSP-YEG show up on ITN, competitive with non-stop all Canadian flights at the time.