The polar opposite of Going Comando. This usually happens when its too cold to Go Comando therefor you end up wearing at least one (or more) layer(s) of undergarments to keep the nether region warm.
Me - Dude what took you so long in the bathroom? You nearly missed the entire 3rd quarter.
Him - Sorry. I'm Going Canadian and it took me forever to get through all those layers.
To refuse to wear a coat, irregardless of the temperature outside.
A) It's snowing outside aren't your going to grab your coat?
B) Nope, I'm going Canadian.