If I won a U.S. Lottery what taxes would I be expected to pay, or would I be exempt from any as I am not an American? Of course I am sure once I got across into Canada I would be taxed at some point

No, winnings are not taxable in Canada.

I was told that the U.S. casinos withhold taxes because otherwise no one would pay them, having lost the proceeds before the fiscal year came around.

All the lotteries run here in the U.S. do take taxes off the top, at least the lotteries where any sizeable amount is involved. Since I've never won more than $3 on any lottery ticket, I doubt the Feds will be coming after me.