A lot of decisions to make!
I can't give you any info about moving to the USA, costs involved etc (you could ask a similar question in the USA forum here too: America Expat Forum for Expats Living in America - Expat Forum For Expats, For Moving Overseas And For Jobs Abroad
), but where you marry bears no relation to your choice of where you ultimately live. You can marry in the US under the visa-waiver scheme I believe, or your fiancée could marry you in the UK on a Marriage Visitor visa (fairly cheap) and then return to the US. So for now, that can be set aside. It does mean that you can't yet live together because that will involve some settlement visas...
My personal view is that, if you ultimately plan to move to the US, you could save yourself an enormous amount of visa fees and just wait until you can be in the US permanently (taking advice from the USA forum of course). If you plan for your fiancée to move here, marry you and stay in the UK for a couple of years, you're looking at three separate visas each costing in the region of £800 to £1400 before you move to the US, and then have to pay US visas on top. You will also need to demonstrate that you have somewhere to live, and that you earn at least £18,600 a year (or have a rather large amount of savings in your account). My understanding (though I might be wrong) is that the US does not have such hefty constraints and if that's the case, you might want to save your cash and aim for moving to the US.