Great question. Lots of US companies prefer to store data in Canada and vice verse.
It really depends on what you mean about data ownership and how you define it. Its your data - you own it, you are also responsible for it. Hosting companies have SLA (service level agreement) that will help you understand how much they guarantee for their services.
I can tell you that if your data is in US then Federal Government can seize your data. Canadian can do that too, but with a much more complicated procedures.
All in all there is no problem for a Canadian to host in the US.
Hope this helps.
P.S. I hope godaddy was just an example of a hosting company in your question. There are much better hosters out there.