You can get married anywhere you want to - just do a Google search for the applicable State(s) or Province(s) to see the requirements (like, for example, Ontario requires a legal opinion from an ON attorney for any foreign - even USA - divorce before they'll issue a marriage licence) and then make your choice. That's the easy part. The harder part, it seems to me, will be deciding where to settle and live together - and the process for making that happen. You are visa-exempt to the States and your fiancee is visa-exempt to Canada - which means that you can relatively easily visit each other, but you can't "live" in each other's country without applying for permanent status. Now, your fiancee will know better than I the requirements and the process for gaining permanent status in the States - but from what I do know, it's a rather cumbersome process and requires the sponsor meets minimum income/asset requirements to be eligible. In addition, it's my understanding that a US green-card holder must live in the States for six months of each year in order to maintain residency.
Canada's process is a bit more generous. Once you're legally marrried, you can apply to sponsor your spouse without having to meet minimum income requirements, and once he has permanent status, as long as the two of you remain together, that status is maintained - regardless of where you live. So achieving permanent resident status in Canada would mean you'd always have Canada as home-base . . . no matter what your status somewhere else, and that might suit you both in your retirement years when you want to travel.
I don't know anything about how things are in the UK - so I can't advise on that point, but it seems to me that the hardest piece of the puzzle will be the US piece . . . because of the residency requirement there. Your fiance might not want to risk losing hard-won status there in order to facilitate residency somewhere else, so the most difficult part of that would be that you would not be able to just "live" there yourself for the amount of time per year that he needs to in order to maintain his status. That maybe puts you in a situation where he has to apply first to sponsor you to the States (especially if he needs to be working in order to meet the income requirements), and then maybe you apply later on to sponsor him to Canada, so that you're both free to come and go at will. We've often thought - because I'm US and hubby is Canadian - that when we retire we will split our time between here and there. Considering the fact that he should be able to "visit" the States for up to six months in each year, we probably won't ever try to get him a GC there, but if we don't, there will always be that uncertainty as far as whether he'll be admitted on any given trip, etc., which would be nice to avoid. However, I've been in Canada for some time now and have no income or assets in the States at present. So it would be impossible for me to apply to sponsor him from here, and difficult for us to be apart if I had to go back and go to work in order to be eligible to sponsor him. Apparently the US is not as generous as Canada, either, in allowing spouses to reside in the country while awaiting permanent status.
Anyway - don't know if that's of much help. I can tell you how the Canadian sponsorship process works, and refer you to visajourney.com for more info on the US process, but I don't really think I can give you much helpful advise as to which piece fits best into your future plans.
