Some of the advice above is not correct, it was at one time but things have changed fairly recently. Having applied for my wife's residency from abroad (and it just came through last week) I can clear a few things up.
First, your "sponsor" (your wife) does not have to be resident in Canada in order to apply. She just needs to show some sort of connection with Canada and an intention to move there with you when you get your residency. Secondly, you can travel to/from Canada when your application is being processed, this is your right to do so as a visitor.
There is a lot of paperwork and it's quite a minefield. I can see why some people have such a nightmare with it all. We paid a consultant to deal with it, they were recommended by a friend who had recently used them. Their website is
www.russcanada.com. Its more expensive than doing it yourself, but you avoid all the hassle and the visa takes approximately 6 months to be processed. And it is unlikely you would have to do the interview which tends to be the bottleneck. Their website is a little hokey but I can assure you they really know what they are doing there. If you are really serious this is probably the best way of doing it, but it does cost more!
The immigration process is the least of your worries. Getting mixed up in the Canadian industry is not for the faint-hearted!