In Canada and the US, marriage requirements vary by region – they vary slightly by province in Canada, and they vary a fair amount by state in the US. Look up the marriage requirements where you both live and see which is easier. There shouldn’t be too big a difference in requirements.
Because you are citizens of Canada and the US, you are currently okay to travel back and forth. However, you should know that there is considerable political support in the US for making it more difficult to enter the US from Canada and it come become easier for the Canadian half of you to travel to the US regularly in the future.