I doubt that duty made up any of what you were charged by UPS. What you were likely charged for was taxes. Canada hasn't joined nations/regions such as the United States, Great Britain, and the EU which now mandate digital marketplaces such as eBay to charge and collect sales taxes on imported items purchased through the site. Right now, only sales to buyers located in Canada from sellers located in Canada are subject to taxes charged at the point of purchase. The Canada Border Services Agency is ultimately responsible for collecting taxes due on casual imports.
It sounds as though you've been fortunate enough to have your past eBay purchases sent by mail. Canada Border Services is supposed to assess and collect taxes and duty on mailed items with declared values of over C$20, but just like the cops don't catch every single speeder, CBSA doesn't usually bother with really low-priced purchases. When my wife and I started out as buyers and sellers on eBay in the late 90s, I'd say about half of our purchases were caught in the CBSA tax net. In fact, one purchase--an antique watch that my wife got me as a gift--was reassessed by CBSA because they didn't believe the declared value on it, so they made up their own declared value based on market conditions and based their assessment of taxes on that instead! True story.
As the '00s passed, fewer of our purchases from the US were assessed and charged taxes and duties, and by the time the Harper era rolled around, I'd say our purchase were very, very rarely stopped and hit with charges for taxes and Canada Post's C$9.95 processing fee. We did have one item sent by FedEx once where we were billed a couple of weeks after delivery, but we'd been keeping up with these discussion boards and knew it was coming, so no surprises there.
The advice to buy Canadian is pretty sound, but just remember that you're just going to escape those pesky brokerage charges. You're still going to be charged tax as per legislation brought forth a couple of years ago. If there's something from the US that you absolutely must have, make sure it is or can be sent by mail (USPS). At the very worse, CBSA will spot it and hit you with the taxes owing on it, but Canada Post's fee for collecting the taxes from you is way better than the $33 you were charged by DHL.
Or you could just have the item sent to a friend in the US and you or someone could pick it up and declare it at the border where it will likely get waved through unless you've got a bunch of other stuff in your trunk as well.
