When you have to leave because the new job cannot wait, some times it happened to me(I'm consultant), of course it is better to tell your sup. But if you think it will not help you, you can leave without notice only if you didn't sign contract with the current employer and you have been working there for less than 3 months. If it is between 3 months and a year, by the law you have to give him a week notice and if it is over a year you have to give him 2 weeks(Ontario Law). Please visit the following link http://www.labour.gov.on.ca/english/.../guide_14.html
But if you signed a contract with him or her, it is another story; check the termination clause in your contract. If there is no termination clause in your contract (I doubt) then you can leave at any time without saying anything. But still, I wouldn’t do that because you might need references and it is always good to leave with good references.
A month ago, I worked on 2 months contract through Brainhunter (employment agency). I started working, then they sent to me the contract to sign. When I read the contract they I realized that I have to give them a month notice in case I want to leave, in the other hand they can terminate my contract at any time without even 24h notice, and many other things in that contract where they over protect themselves but there is 0 protection for me.
I believe that Brainhunter is using unfair business practices then I refused to sign the contract. Guess what, they hold my pay cheque for over a month and forced me to sign it. What I did at the end because I didn’t have any more money in my pocket.
I was really mistreated by Brainhunter, then I looked for another contract. But I waited till the end of the contract I signed with Brainhunter, then I left for another one.
I believe, I’m not supposed to break the Law if Brainhunter is not respecting the Law and violating consultants rights.
I will not recommend you to leave without notice, when you have to give notice, even when you don't have.
If the employer is violating your rights, no worries, you can always get back you rights if you ask for. The Ministry of Labour is here to help you with some specific issues with employer.
Hope it helps.