One of my motivations for buying a canoe was the fact that with an appropriate rig attached you can turn your canoe into an effective small sailing boat. Rigs are available commercially or some people make or adapt one from an existing rig (Optimist rigs are popular but pretty much anything can be used as a donor rig). By all accounts the most effective solution is to buy a dedicated rig from a company called Solway Dory who make and sell sailing canoes, rigs and accessories. Their stuff isn't cheap but it's tried and tested and is highly rated by those who use it.
I've been considering which route to go down myself, my initial thought was to buy a Solway Dory Expedition Rig. This is a small lugsail rig (24sq ft) which packs down really small and uses a mast and spars that are only just over 6 feet long so it can easily be stowed in the canoe when you're in paddling mode. It is usually used in conjunction with a small leeboard which clips onto the downwind gunwale and is swapped from one side to the other as you tack. This too is designed to be easy to carry when not in use. Steering is carried out by using a paddle. Performance isn't exactly startling but the rig can be sailed upwind and works well across and downwind.
Another option is to make my own rig. I have an old soft windsurfing sail that I could get my friend John (who's a sailmaker) to modify. I also have a few broken windsurfing masts and booms that I could use to make a rig. I'd either have to make my own pivoting leeboard and rudder or buy them from SD. The downside of this plan is that the performance of the rig would be a total unknown but it would be cheap to do and potentially provide better upwind performance than the SD Exped Rig.
The third and most expensive option is to buy a bigger rig from SD, they make both lugsail and bermudan rigs which perform very well. The 44sq ft Bermudan rig will allow a canoe to outperform small dinghys like a Mirror or Topper and is easy to reef in stronger winds. The downside is that it sets on quite a long mast so is a lot more intrusive in paddling mode and is less convenient to store.
I'm not sure which route to go down yet but a sailing rig will be heading my way soon.