Are tankless water heaters worth it in cold climates?
Tankless heaters are rated by the amount they raise the temperature of the water at a specific flow rate (and as the flow goes higher, the amount they raise the temperature is lower), for example:

Rise in Temp:    50°F      75°F     100°F
Flow rate:    3.8 gpm   2.4 gpm   1.9 gpm


Basically, the lower your incoming water temperature, the larger a unit you need to get. Sizing is also dependent on the number and types of simultaneous consumers of hot water (eg, being able to run two showers at once requires a larger size than is needed for just a kitchen sink). 

This manufacturer site shows incoming temperatures in North America, and helps provide sizing information based on their models.

Anecdotaly, I know virtually all new construction I've seen around Ontario for the past couple years (including Ottawa, Ontario) uses tankless heaters.

Resource: http://www.tanklesswaterheaterguide.com/