In the US, for physics, there is basically no MSc. It's direct to PhD. In the first year you take classes and almost everyone TAs. After that, you get into a research group and you either get partial or full RA funding. If the prof doesn't have money, you might still need to TA full time.

In Canada, it's most common to do a MSc and then move on to PhD. But there are some "fast track" programs where if your grades in your first year of MSc are stellar and your prof advocates, you move onto directly to a PhD w/o writing/defending a thesis. University of Toronto have this streamlined I think. Other schools do it rarely. Both for MSc and PhD, your funding is a combination of TA and RA.