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Also, there are some non-US banks with US subsidiaries - so your local bank may be able to help you too.
Kind of expensive, if you are just trying to buy music legally, but if you are running a business and want to get around the 'we deal with americans only mentality',this is a great way around it.
Checks drawn on my US$ account at TD Canada Trust will not clear at every bank in the US, but checks drawn on my TD Waterhouse account will. Unfortunately, TD Waterhouse does not offer any sort of cross-border account to corporations.