I don't get why it's so difficult to travel from Canada to the U.S.

I'm from France and I can travel everywhere in Europe without having to show any identification and without having to prove something...

Right now I'm near Toronto and planning to go to the U.S. in a couple of weeks... Heard so many stories about other students buying their plane tickets and then being stucked at the border, and now this rant, I'm shitting myself.