Building a Gazebo without permission
Assuming we're talking about Ontario, the answer has several parts to it.
You can build whatever you want on your property providing that it meets building code and local zoning requirements. The first thing you want to do is check the zoning bylaws of the city you live in and find out how the gazebo and the location you're proposing for it match up against your local zoning regulations. Your local building department will advise you as to what plans or permits you might need in order to complete the job.
One thing to be aware of is the proposed location of the gazebo. Your local zoning may stipulate "set backs" - distances from the property line within which you are not permitted to build certain types of structures. Although you own all the way up to your property line, your local zoning bylaws will govern how close to it you can build things like garages, pools, decks and even gazebos.
If you don't know where your property boundary is, get a hold of a survey plan of your property. To be absolutely sure, hire a surveyor to mark it out for you.