Well, in Canada, there is a place right on your tax return form for indicating that you want it direct-deposited. Here are the instructions direct from the tax agency http://www.cra-arc.gc.ca/tax/individuals/topics/direct_deposit-e.html

In the US, the IRS puts places on the tax return forms for you to write in the necessary information. This place comes after the line telling how much money you have coming back. The information needed consists of a routing number and your account number. The routing number tells the IRS which bank administers the account into which the money is to be deposited. The account number, obviously, tells into which account at that bank the money is to be deposited. It is easiest to get the correct numbers for a checking account. To get these numbers just look at one of your blank checks. At the bottom, there are three groups of number. The first group should consist of nine digits. This is the routing number. The last group of numbers can be variable in length, but usually at least four digits in length. If you are observant, you will not that this group is the check number. This leave the group between the routing number and the check number. This group is the accounting number. There my be some strange characters mixed in with the digits of the account number. Just ignore those when writing out the account number on your tax return. Write only the actual numbers down. If you want to have the money deposited to a savings account, then it is a little more complicated. You can get your account number from the bank statement. If the savings account it at the same bank as your checking account, then you can get your routing number from a check as described above. However, if you don't have a checking account at the same bank, then you may actually have to contact someone at the back to find out what the routing number is. Now, if you find my description of where to find the routing and account numbers on a check too confusing, then I would suggest you look at the directions for filling out the tax return form that you are using. The IRS has put illustrations in there that actually show where to find each of these numbers on a check. Oh, and you don't have to pay any fee for direct deposit. The fee mentioned in another answer was the price you have to pay through some services to file electronically. The IRS website also links to services that will also allow qualifying people to prepare and electronically file their returns free of charge. I used one of those services this year.