After the UK, the most-requested countries for OpenHeatMap have been Canada and Mexico, so I'm pleased to launch state/province level coverage for both of them. All you need to do is create either a Canadian province or Mexican state column in your spreadsheet and I'll take care of the rest!
Unfortunately I haven't been able to find more detailed information for either country, I'd love to find electoral boundaries for both, but I'll keep looking. I also have leads on Turkey, Australia, New Zealand, Germany, Austria, Switzerland and Ireland, so I hope I can cover even more of the world.
If you don't want a thematic map, and are happy with blobby heatmaps instead of filled polygons, you can already use OpenHeatMap with international street addresses, just put them in an address column.