It's not without some consequences ... maybe. You will have to use US dollars to make the purchase and banks often charge 1-2% just to exchange your money. There are ways around this at most, if not all, discount brokers - but it's more complicated.
You will possibly be exposed to US estate tax but that has historically been for larger estates. What it will be in the future, no one knows.
In rare cases you may have to file a 1040NR to the IRS for some types of fund. SPY is not one of these, nor are any ETFs which just hold common shares.
You will be subject to a a different tax regime on income generated. All foreign income is counted as straight income and taxed at your highest marginal rate, this includes dividends and, extremely rare for the US, capital gains distributions.
Depending on which account you hold the ETF in the taxation is different. The best is an RRSP, there are no withholding taxes due to a tax treaty. There are no taxes on distributions since it's a tax sheltered account. Of course there are taxes on withdrawals but that's the same for any investment. Contrast this with buying a Canadian domiciled fund like XUS. Distributions paid to XUS will have withholding tax no matter where it's held, but not from XUS to you.
In a TFSA or RESP there is withholding tax but no income tax. You can not recover this withholding tax. Canadian funds will have no withholding tax, except possibly a hidden one from a foreign entity to the Canadian fund.
In a regular, non-registered account there will be withholding tax and income tax. The withholding tax will usually be recovered through a foreign tax credit. For a Canadian fund there would be no withholding tax from the fund to you but there is a non-recoverable withholding tax between the US companies and the Canadian ETF. Eventual capital gains will be taxed the same as a Canadian ETF, with the tax payable to Canada.