As long as you return to the US to obtain your spousal visa, there's no real difference. You do need to give notice here, though. I think it's 7-15 days depending on where you live, but I'm sure someone who married in the UK could give you a better answer.
Uh.......and if you marry here you can't work until you get your spousal visa. If you marry in the US and get your spousal visa there, you enter the UK with the right to work.
Just a matter of deciding what's right for you and your fiance. Good luck!