The Expat guide to New York & Montreal are a good place to start. They offer sections on visas which can provide you an overview of what it will take to marry & immigrate. Marrying in either country shouldn't be an issue. A visa is not required for entry, so you should be able to present:

ID (passport)
proof of single status (tax forms, etc)
fee

The specific requirements depend on where you want to marry. Look up the local government page in either the USA or Canada and they will provide the information.

As far as permanent status:

Canada - If you have an eligible spouse, partner, parent (including adoptive parent) or other family member who is a citizen of Canada or who holds permanent resident status, and who is willing to sponsor your application for permanent resident status, your chances of being admitted to Canada as a permanent resident are much greater.
Application (http://www.cic.gc.ca/english/pdf/kits/f ... M5444E.pdf)

USA - If you wish to remain in the United States permanently, you must file Form I -485, Application to Register Permanent Residence or Adjust Status, commonly called a Green Card. You may file this form simultaneously with Form I-140, Immigrant Petition for Alien Worker for no additional fee. Immediate relative of a U.S. citizen (spouses, unmarried children under age 21, and parents of U.S. citizen petitioners 21 or older) Application

Hope this helps you figure out your situation. Congrats on the marriage!