For 2009 Average Exchange Rates, See This Page.

Have a lot of US$? Consider getting a No-Fee US$ Mastercard from BMO to save on currency exchange fees.  

For foreign income, dividends and interest that you report on your Canadian tax return forms, you must report it in Canadian Dollars.

Anything you see on this page in red is quoted from the Canadian Revenue Agency/CRA website from the "Line 121..." and "Line 104..." links.

Line 121 - Foreign interest and dividends <!-- InstanceEndEditable --> <!-- CONTENT TITLE ENDS | FIN DU TITRE DU CONTENU -->

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If you receive interest or dividend income from another country, you have to report this income in Canadian dollars. Use the exchange rate that was in effect on the day you received the income. If you received the income at different times during the year, use the average annual exchange rate. The average monthly rate as well as the daily rate are available by accessing the Bank of Canada web site.

If you paid foreign taxes on your interest or dividend income, you may be able to claim a foreign tax credit when you calculate your federal and provincial or territorial taxes (see line 405). Do not subtract the taxes from your income when you report it.

And for Foreign Income:

Line 104 - Foreign employment income <!-- InstanceEndEditable --> <!-- CONTENT TITLE ENDS | FIN DU TITRE DU CONTENU -->

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Foreign employment income is income earned outside Canada from a foreign employer. Report this income in Canadian dollars. Use the exchange rate that was in effect on the day you received the income or, if the amount was paid at various times throughout the year, you can use our average annual rate.

Note
U.S. wages reported on a U.S. W-2 slip may be reduced by such contributions to a "401(k), 457 or 403(b) plan, US Medicare and Federal Insurance Contributions Act (FICA)". These contributions are not deductible on your Canadian return and must be added to your employment income at line 104.

If you paid foreign taxes on foreign income you received, do not reduce the amount you report by the amount of tax the foreign country withheld. However, you may be able to claim a foreign tax credit when you calculate your federal and provincial or territorial taxes. See line 405 - Federal foreign tax credit, for details.

Sooooo...

AVERAGE 2007 Exchange rates from the CRA:

from: http://www.cra-arc.gc.ca/E/pub/tg/rc4152/README.html
Well, actually, they're Bank of Canada rates, the CRA just copies them.

Country (monetary unit)	Exchange rate	Country (monetary unit)	Exchange rate
Argentina (peso)	0.3420	Morocco (dirham)	0.1310
Australia (dollar)	0.8982	Netherlands Antilles (guilder)	0.6038
Bahamas (dollar)	1.0748	New Zealand (dollar)	0.7892
Brazil (new real)	0.5513	Norway (krone)	0.1832
Burma [Myanmar] (kyat)	0.1931	Pakistan (rupee)	0.01769
Chile (peso)	0.002055	Panama (balboa)	1.0748
China (renminbi)	0.1412	Peru (new sol)	0.3432
Colombia (peso)	0.000518	Philippines (peso)	0.02328
Croatia (kuna)	0.2002	Poland (zloty)	0.3883
Czech Republic (koruna)	0.05293	Romania (nouveau leu)	0.4153
Denmark (krone)	0.1972	Russia (rouble)	0.04198
East Caribbean (dollar)	0.4029	Serbia (dinar)	0.01800
European Monetary Union (euro)	1.4691	Singapore (dollar)	0.7126
Fiji (dollar)	0.6680	Slovakia (koruna)	0.04350
Communauté Financière Africaine (franc) C.F.A.	0.002240	South Africa (rand)	0.1523
Communauté Française du Pacifique (franc) C.F.P.	0.01231	South Korea (won)	0.001156
Ghana (cedi)	1.0689	Sri Lanka (rupee)	0.009727
Guatemala (quetzal)	0.1400	Sweden (krona)	0.1589
Honduras (lempira)	0.05688	Switzerland (franc)	0.8946
Hong Kong (dollar)	0.137744	Taiwan (new Taiwan dollar)	0.03271
Hungary (forint)	0.005848	Thailand (baht)	0.03323
Iceland (krona)	0.01677	Trinidad and Tobago (dollar)	0.1708
India (rupee)	0.02605	Tunisia (dinar)	0.8392
Indonesia (rupiah)	0.000118	Turkey (lira)	0.8221
Israel (shekel)	0.2614	United Arab Emirates (dirham)	0.2700
Jamaica (dollar)	0.01561	United Kingdom (pound)	2.14865378
Japan (yen)	0.009121	United States (dollar)	1.07478127
Malaysia (ringgit)	0.3125	Venezuela (bolivar)	0.000501
Mexico (peso)	0.09832	Vietnam (dong)	0.000067

If you are NOT using the average exchange rates for filing your annual Canadian income tax forms, then take a look at the Bank of Canada's page at:

Bank of Canada Daily Exchange Rates for 56 Currencies