There are no "tax penalties" as such on Americans living in Canada (or anywhere outside the US). The deal is simply that, no matter where you live, you are always going to be subject to US taxation (until and unless you formally renounce - which has other ramifications). The issue becomes one of interpreting the relevant tax treaty (US-Canada in your case) to try to figure out how to invoke the appropriate protections against double taxation.
You will be expected to report all "foreign" (i.e. non-US) bank accounts and investments, and there are additional forms to file for certain types of dead-normal "foreign investments" - but these are the same for US citizens living in the US if they choose to invest outside the US. The real "penalty" is simply the complexity of the reporting requirements, not an actual tax penalty. (But yes, it's still annoying as it can be.)
Cheers,
Bev