Personally I don't like wearing a PFD. The one time I wore one windsurfing I almost ended up with out my board 2 miles off shore in the great lakes. With a coast guard approve PFD on I couldn't swim fast enough to catch my board after a catapult. I've swam and caught my equipment thousands of time without a pfd, no problem. With the pfd on out in 20 knot conditions I was near exhaustion when I finally caught up with my gear. I regularly swim for fitness. I am a strong swimmer. The PFD was a major limitation. If your sail falls and the booms land and balance on your board it moves pretty fast until the sail finally blows off.
I'm not saying a PFD is the wrong choice for everyone. I'm saying for me, with the number of times I need to swim after my gear it's safer if I can swim fast.
If you're worried about consciousness o2bnme is right on, get a helmet. I have used a pro-tech wake ace helmet. I will be replacing it with a Gath Gedi. The pro-tech is inexpensive and provides good protection. The pro-tech I had used materials that corroded or dissolved after 3 years of fresh water exposure.
Since you are sailing in Canada you need to be wearing a Canadian Coast Guard and Transportation Canada approved pfd to be legal. You also have to carry a signaling device. The signaling device can be a whistle. The Canadian requirement is that the whistle be a pealess whistle. When sailing in Canada I strap on a Mustang inflatable pack. The Canadian approved pack is Mustang model number MD3021. Following are links to the mustang web site and poco marine. Poco marine was the best price I could find for the inflatable pfd. I like this small pack because strapped in the small of my back it doesn't slow me down in the water.
The guest poster almost had it right. You will get fined if the Provincial Police catch you windsurfing without a pfd. But the fine can be more than $100. The Canadian law is if you are wearing a pfd and a signaling device you don't have to carry a "manual propelling device, a water tight flashlight or three Canadian approved flares Type A, B, or C and One buoyant heaving line no less than 15m in length." A sailing buddy got lippy with an OPP officer about receiving a fine for not having a PFD on. He got fined for the rope, the flashlight, the paddle, the whistle, and the PFD. Each infraction was $100. So if the officer that busts you is having a bad day it gets real expensive real fast.
So the mustang inflatable may seem expensive but it's a lot cheaper than the fines.
Here's a link to the Canadian marine safety page that covers the requirements.
Here's a link to a US Coast Guard approved pealess whistle. The Canadian requirements do not require Canadian Coast Guard approval on the pealess whistle.
I checked with the OPP marine enforcement division. The MD3021 is fully approved for windsurfing.
Once again not telling you what you should do just trying to share well researched information and personal experience