I should also add that John Crosbie was a high profile provincial politician before becoming a high profile federal politician, and there are other examples in Newfoundland and Labrador.
I think one reason we've seen few premiers be successful in federal politics, and thus become prime minister, is due to very few premiers being Danny Williams and Gary Doer. Williams retired at the top of his game, 92% approval rating, while Doer's appointment came while he was still very popular. Many premiers are either defeated in elections or are forced out due to their unpopularity. As well unless you have a strong track record from provincial politics, like Williams and Doer, then you're not going to succeed federally, an example of this is Bob Rae. If you couldn't manage a province properly then you're going to have a tough time convincing people you can manage a country any better.
Here's a perfect example of what I mean.