Northern Ontario, unlike Northern Quebec and much of Northern Manitoba, is actually a swampy lowland. Imagine damming the Red River in Winnipeg. You'd get no real benefit from it, just a large, muddy lake. That's why we didn't build dams up there—we simply couldn't. That region actually isn't even on the Canadian Shield (orange parts on this map):
http://kids.britannica.com/comptons/art-143239
And as for the Red Lake region (which is the part of Ontario in the corner of the border with Manitoba), we didn't build large dams because we lacked the skills and infrastructure to get electricity from there to Toronto at the time. We didn't even have a permanent road connection to the rest of the province until the 1950s. Even today, Northwestern Ontario is actually isolated from the rest of the North American grid. Three switch points (Kenora, Fort Francis and Wawa) are all that connect us to everything else. By tripping a switch at Wawa, we escaped the 2003 blackout, and OPG was able to use energy from its Northwest plant group to kick start power plants in the south.
In the great lakes basin though, we have a lot of rocky hills and waterfalls. Most of our dams are based on those. Thunder Bay is powered by five dams, three on the Nipigon River (the largest of which raised the water level of Lake Nipigon—which is about 90% of the size of PEI—by several feet) and two along the Kam River, including one around Kakabeka Falls (with a similar set up to the Niagara Falls power plant, where the water is brought through an underground aqueduct to the generating station which is built into the cliff face downstream from the falls to preserve them). Thunder Bay actually has a hydro dam within the city, which was built over 100 years ago to power street cars. Its reservoir is the focal point of the city's largest greenspace.
Northern Ontario also has a growing wind and solar sector (Northwestern Ontario is the sunniest place in Eastern Canada, by virtue of being the westernmost part of it lol), numerous gas plants (since the natural gas lines from the west cross the region, so plants are built along it in strategic locations) and two biofuel plants (former coal plants) which are powered by "high tech" pellets from Norway and only operate about five hours a year. It cost the Thunder Bay Generation Station over $1,000 per kilowatt hour last year. They turned it on for a few hours in January and it operated at around 5% capacity before demand dropped and it was turned off again, because apparently you can just turn them on and off within an hour like that.