On your hunt for data, you may find that the data you are looking for does not exist in a GIS-ready format, such as a shapefile. Don't despair! There is a lot of other data out there that can be geocoded or linked to geospatial files. For example, this is often how people map census data - linking the data with census boundary files. So don't discount non-geospatial data! This page presents links to some major Canadian data & statistics portals, datasets, and tools, but be sure to check out the Data & Statistics Guide for much more!
The DLI (Data Liberation Initiative) provides access to the Postal Code Conversion File (PCCF) and the Postal Code Conversion File Plus (PCCF+). (More info) These files provide a correspondence between the Canada Post Corporation six character postal code and Statistics Canada’s standard geographical areas, e.g., dissemination areas, census tracts, and census subdivisions.
The PCCF uses an SLI or ‘Single Link Indicator’ for matching. The single link indicator identifies the geographic area with the majority of dwellings assigned to a particular postal code.
The PCCF+ uses population-weighted random allocation for postal codes that link to more than one geographic area.
A YouTube video produced by Jeff Moon (Queen's University) describes how to use the PCCF+ file and SAS to match your postal codes to census geography.