There are VERY specific rules for accounts between the US and Canada and are subject to the Canada/US tax treaty.
It is actually possible to transfer a 401(k) to a Canadian RRSP, although it's a complex process (there are only a handful of agencies capable of doing this in North America.) It's been a while since I looked at this, but I know it's possible. Here's a blog post: http://blog.taxresource.ca/moving-your-ira-or-401k-to-canada.
The US does not charge a 30% TAX, it withholds 30% to ensure that you FILE and pay any tax that is due and owing. If you file the proper forms, you will get some or all of that withholding back. However, there are special rules between the US and Canada (so it's 15% fixed rate if you have regular payments, for example, under the terms of the tax treaty.)
Another interesting option that I've read about is that you can convert the US 401(k) into an IRA. Then you systematically roll your IRA money into a Roth IRA (which is an after tax account.) As long as you remain below the taxable threshold, you won't owe any tax on it ($15,000 for a married couple filing US 1040s, $3,100 per year for a single person filing a 1040NR). Five years after conversion, the proceeds of the Roth IRA can be withdrawn without any tax liability at all - to the US or Canada.
Bottom line: you should speak with an experienced financial planner familiar with both the US and Canada (they exist, but there are not a huge number of them.)
Good luck!
