The Humble RRSP

Ten years ago it was a pretty simple answer.  Yes, absolutely.  Today, probably-but it’s more complicated.   A changing tax code, the introduction of the Tax Free Savings Account and the insatiable appetite of Canadian’s to borrow means it may not be your first priority.
That sage of the Canadian investment industry Stephen Jarislowsky caused a stir within the industry when he said absolutely not!  Of course his rationale had more holes than a block of Swiss cheese for the masses as he inflated potential investment returns, underestimated management fees and didn’t look at the impacts of reinvesting the tax savings or paying down debt.  At 89, I’m sure he just had a big laugh at all the fuss.
If you don’t have an emergency fund or access to cash on short notice you may be better served by skipping the RRSP and setting up an account with automatic deposits.  It could be a Tax Free Savings Account but likely not worth the bother if you are just getting started.  Both the RRSP and TFSA will be there next year.
If, the RRSP is the vehicle, then it would have been a good idea to have started contributing over the last year.  This creates discipline, likely increases your contribution and still affords the opportunity to top-up in February when you and your accountant talk numbers.
Should you borrow?  Only if you expect a windfall to pay off the balance once you get your refund.   While this is a form of a forced savings plan there are just too many variables with income, jobs and the economy in today’s global village.  Better to just start next year’s contributions now all other things being equal.
What should you buy?  This depends upon your overall objectives and should be discussed with your advisor.   If you haven’t rebalanced in a while it’s time to review.  You could hold cash and wait for opportunities but which ones?  History teaches us that investors and advisors are lousy market timers.  If you don’t like the option of putting it all in the market at once you may be able to accomplish dollar cost averaging from within the RRSP.
Beyond CPP, OAS and private pension plans the RRSP is still the key vehicle for building retirement savings for working Canadians.  Best to take advantage of the tax break now and grow your capital for what is likely to be a more expensive tomorrow.