You need to have some court documents, some legal paperwork stating that you have full custody of all of the kids.
If you are getting married to a Canadian, he can sponsor you and your kids to immigrate to Canada. His obligation will be to support you and your kids financially. After you come to Canada, he will be financially responsible for you for 3 years, for the kids for 10 years each. That goes if you try to go on welfare in Canada, he will get the bill.
If you choose another way to immigrate, that is up to you. You can find Canada immigration at
http://www.cic.gc.ca/english/immigrate/index.asp