It really depends on your personal preference, your financial situation and whether you have any burning desire to marry in either the US or the UK.
If you want to marry in the US, then you can do that without needing any visas - the UK citizen can just enter the US as a visitor and you can marry. Then after the wedding, you can apply for a spousal visa, which is valid for 27 months and allows you to work. It costs $966 and you won't have to apply for any more visas until you have been in the UK for 2 years.
If you want to marry in the UK, you need to apply for a 6-month fiance visa first. It costs $966 and you cannot work at all in the UK until you are married and have the next visa, which you apply for after the wedding. The next visa is a 2-year FLR(M) visa, which allows you to work. It costs £475 by post (but takes up to 4 months to be processed and you can't work during that time) or £730 in person (same-day decision).
So, you need to balance the cost of a trip from the UK to the US to marry first, with the cost of getting 2 visas (fiance visa and FLR(M)) if you marry in the UK. And there's also the personal preference of where to marry - Do you want certain family members to be there? Are you just going for a small, low-key wedding or do you want a big elaborate affair? etc.
