The National Energy Board has set up a portal where you can get linked to various websites, including CANSIM, industry organizations, and some provincial agencies, and go and dig around for data. It is still pretty cumbersome, and the data, as I say, are quite disparate. Different data providers use different definitions for the same thing. Some of the data are very granular. A lot of the data available from the Canadian data system, CANSIM, especially on the consumption side of things, are very lagged. They're very dated, and therefore, of less use when it comes to analysis, unless you're doing long-time series sorts of things.
Granted, Stats Canada has a mandate to provide data, and they do provide data, but from our perspective the data have inadequate coverage. There are lags and inconsistencies for some provinces. The consumption data for natural gas, for example, just make no sense at all when you look at it over a long period of time. You see weird swings in sectoral demands that are just not explainable by weather or anything else.
Your provocative notion of user pay for national statistics is an interesting idea. I would simply point out that, from an economist's perspective, if information isn't distributed equally on all sides of the debate, that's one of the ingredients for market failure. Where there's a disproportionate power because the distribution of information isn't equal, not everybody has access to it, which goes to Professor Gattinger's point that not everybody can afford the information.
As well, basic, good, accurate, reliable, and timely information about the energy ecology of Canada is a public good. Governments ought to be doing it because third party providers aren't. They will provide snippets and bits and pieces, and they do that now, but in our experience data purchasing from a third party tends to be very expensive because some of the data are pretty hard to collect.