I tried about ten years ago, but they, like most countries, operate a strict closed-door policy. You have to meet strict criteria (special skills, or dump $400k into the country, etc.) to qualify for residency. I don't have a problem with their rules, but some of their ministers ought to shut up about Canada being open to immigrants. It is not. But some places, like the US, Australia and New Zealand, among others, have even stricter controls if anything.
Living abroad legally can be a bureaucratic challenge*. The challenges facing migrants today are quite different from those of 100+ years ago. Living in a country illegally has its own issues too.
A foreigner (with clean record and stuff) can "buy" their way into the US with about a million bucks (or have they raised the price?) but the bureaucratic processes behind obtaining the green card are usually nightmarish, even if you actually qualify, apparently. This is based on hearsay and book research, though, not personal experience!
* bilateral agreements minimising or eliminating immigration controls wholly within predefined areas, e.g. between EU/EFTA or Australia/NZ, for example, are a special case, which I am discounting here.
ETA (important): if you're serious about settling in another country, you will need permanent resident status and not a guest/student/work visa. This is really important and is the crux of a lot of migrants' troubles, since governments make permanent residency extremely hard to get (partly because it's not that easy for them to revoke it once they give it to you). The exception to this rule would be a kind of "bridging" visa which, while not being a resident permit, carries a guarantee or promise of full permanent residency after a given time (assuming no breaches of visa T&C). Some countries' spousal visas, or the New Zealand "work to residency" program, would fall into that category, but again, strict criteria usually apply even to get these visas. It's tough out there.
