The more I've read about this, the more I think I'd be open to supporting it (should this become a political issue in the future - Andrew Scheer has apparently expressed support for CANZUK so I wonder if this proposal could get more publicity come 2019).
It isn't so much an EU like proposal, as there is no common currency, etc. I guess it's somewhere in between NAFTA and EU integration.
My biggest worry would be a "brain drain", say Canadians leaving for Australia due to the warmer climate , but I suspect overall this would be a minority.
Link to their website:
http://www.canzukinternational.com