But Canada's hardwork in getting to the semi-final was almost undone by Finland.
The world champions were cruising at one stage having gone into a 2-0 lead after eight minutes, courtesy of Therese Brisson and Hayley Wickenheiser.
But then Tiia Reima became the first woman to score against Canada in the tournament.
Further shocks were in store for the favourites when Reima smashed the puck past Kim St. Pierre again, three minutes into the second half, before Katja Riipi scored a minute later to put the Finns 3-2 ahead.
Finland's goaltender Tuula Puputti was in inspired form stopping 30 shots, but she was unable to prevent Wickenheiser from levelling three minutes into the final period.
Six seconds later Jayna Hefford gave Canada the lead for good with a shot between Puputti's pads that broke Finland's spirit.
Vicky Sunohara, Cassie Campbell and Brisson's second of the game eased Canada into the final where they will face USA who beat Sweden 4-0.
Cammi Granato's two goals helped the Americans on their way, while Katie King and Natalie Darwitz added the other two.
Thursday's showdown will be the ninth time the North American rivals will square off for a major title.
The Canadians have won all seven prior World Championships but the United States won the 1998 Olympic women's debut.
Sweden will play Finland here Thursday for the bronze medal.