Has anyone purchased a new set of wheels in Canada and brought them back home with them to the US? What kind of duty or other issues are there when you do that?

if they are use, I would not say anything...

PST & GST taxes, you pay them when you buy. You get the GST (I think) back at the border, go into the duty free store and fill out some paper work. then just show the border guards the paperwork. Or you could just have them installed on your car.