It is generally cheaper (but not always) to fly out and back on a single booking than it is to book seperate one-way tickets. However, that doesn't necessarily mean travelling on the same airline for all flights.
For example, you could book a single ticket with Air Canada that also includes some segments on their partner airlines. So, you could fly non-stop from SYD to YVR with AC. You could then continue with AC from Vancouver to Calgary to Toronto with Air Canada (however, consider renting a car and driving from Vancouver to Calgary, as it's a fabulous drive). For your flights to Boston and New York, you could continue with Air Canada or AC could book you on a flight with United. For your return back to Australia, it would then make sense to continue with UA connecting through SFO or LAX on your way back to SYD. Booking with one airline doesn't have to mean flying only on their planes, which would often be rather inconvenient.
You will need to decide what is most important to you. Non-stop flights? Best price? Best inflight entertainment? Search out the costs of the various options and then decide what's best for you.
Whatever you do, DO NOT book connecting segments by cobbling together seperate tickets, unless you're planning to stay a day or two before taking your onward flight.
If it was me, I would choose the non-stop AC flight to YVR, unless you can save significant $$ on a different route. It's faster, and it doesn't involve having to go through US immigration at your connecting airport when your destination is Canada. There are many possible options available to you for the return from New York to Sydney.
Edited: 11:08 pm, April 16, 2013