Here are my suggestions (not in any way legal advice):
(1) employment letter. It would help you to take an employment letter from your Canadian employer, if only to assist in aiding your claim that you won't be a charge of the United States Government (i.e. that your intent is not to end up on welfare)
(2) Canadian tax filings. YES. I've been told by several attorneys that tax filings, regardless of jurisdiction, are most helpful if the Consular Officer has questions with respect to income, status, etc.
(3) AOS for your wife. I don't know what to say about this one. Sorry.
(4) Other financial documents. I can't think of any, but I've been told by many people to bring more than you think you'll need. Because you can't go back home to retrieve the documents once you're in the Consulate.
Best of luck, and I hope other posters provide their opinions on this matter for you too.