I was just wondering why most graduate programs in the US have no Master's programs. They mostly are PhD programs. Why is this the case? After obtaining an undergraduate degree from a Canadian university, what would be your advice about going straight to a PhD in the US? Do you gain the same knowledge en route to the PhD as you would in a Master's program or would it be more beneficial to do a Master's elsewhere first and then apply for a PhD?
If you are acceptable and accepted in to a doctoral program there is no reason to earn a Master's degree first. Many universities will give doctoral student a Master's along the way. For some (maybe not many, but I don't know anymore) there is nothing special to do but to ask for it. In my case I wrote a thesis, though not of the depth of a doctoral thesis.
If you earn a Master's at one institution you may actually have a problem in that what you did doesn't match up well with the requirements of the doctoral program you apply for later. This could actually slow you down. If you want both, it is advisable, if possible, to earn them from the same institution, perhaps with an "automatic" Master's along the way.
But for some, who don't want or need a doctorate for what they intend to do, a Master's can be earned. Some HS teachers do this. Some people are just not convinced that they want the commitment of a doctoral program after undergraduate. A doctoral program is a much bigger commitment than a Master's of course.