I have an account in the USA with TD Waterhouse, and they allowed me to open an account to trade in Canadian stocks. To trade those, I have to access the tdwaterhouse.ca website, but I believe that the trades are done online rather than broker assisted. I say "believe" because while I've opened the account, I haven't yet used it to purchase any Canadian stocks. But if I understand correctly, the account allows me to buy stocks directly from the Toronto Stock Exchange, including the Venture market.
There are probably other brokers that enable direct online purchase of TSE stocks as well. And since TD Waterhouse's US operations are being bought (actually I think the merger just concluded) by Ameritrade, the rules might be changing. But if you have a local TD Waterhouse branch, you might want to talk with them. The TD stands for Toronto Dominion (Bank), so no surprise that they've enabled online TSE trading. I'd guess though that this is not unique to them, so check around various brokers.