There are a number of services that have been emerging to make this easier. I don't know a whole lot about them, but examples include LeanPub and Creatavist.
Belinda D(Belinda) I highly recommend PressBooks.com especially if you have a WordPress site/blog, as the interface will be instantly familiar (It's built on WordPress). You write each chapter just as you would a blog post, and can rearrange them by drag-and-drop, without having to re-paginate, etc. Choose from about 24 different themes, all already formatted for print and ebooks. Much easier than Adobe InDesign, (and I use InDesign, PhotoShop and Illustrator for my day job). You and your team, (multiple authors, proof readers, etc) can view the book online in private/public mode and export in a variety of formats as often as you like with the push of a button. $10 for an ebook, $100 for ebooks + print PDF. I used it for The Princess Guide To Rome for print PDF, Kindle, iBooks, Nook, etc. Built by the same team that created Librivox.org.
I found a workaround though: all Amazon really needs is a few numbers from the packing list (the order number and something else). So, I have Lightning Source ship the books directly to Amazon Canada, but add these numbers to the "to" address and the "from" address. It's worked so far!
(Belinda) Many Canadians maintain an Amazon.com (US) account as well as an amazon.ca account it's cheaper to buy books online and have them shipped from the US. Crazy, I know.
If you're a foreign author looking to sell in the USA, note that they will automatically withhold a significant part of your hard-earned money for taxes and you have to prove to them that you're not eligible for US income tax before they release your money (Imagine if every country did the same...). Lulu doesn't inform you about this condition and just sends you a receipt at some point, which means a lot of hoops and wasted time to get your money back. Amazon makes it possible to enter your EU income tax number in order to avoid this circus; do so immediately when entering your book into their system.
(Belinda) You can request that Amazon withhold all payments until you get the tax situation (TIN, EIN or SSN) sorted out. This is a lot easier than petitioning the IRS the following year for a refund Also, as of Feb 2014, Amazon remits all foreign withholding tax on royalties to the IRS monthly, not at the end of the year.
The affiliate program also provides nice little widget, like the ones you see on the side of www.technologywoman.com.
You can also sign up for an affiliate code for other countries (Amazon.fr, amazon.de) if you find you have a big following in say, Japanyou find you have a big following in say, Japan. To ensure that your visitors are taken to the correct website (with their currency and shipping costs) I use (and recommend) a WordPress plugin called Amazon Affiliate Link Localizer.