As far as I can tell, the US is the only country where it is strongly advised for would-be immigrants to hire an immigration attorney.

Where you have the wedding shouldn't be an issue - just make sure that the marriage is duly registered with the "other spouse's" consulate. Usually something the registry takes care of automatically - though if you're married in the US, you may want to check with the UK consulate regarding the procedure. The fact that the states each determine their own marriage laws sometimes allows this kind of thing to fall through the cracks.

You should be able to do your initial research on visas online. The UK Embassies generally have pretty good websites, and I think the UK has an Embassy/Consulate in Chicago that should have its own website. (At least they did when I was living in Chicago.) If not, check the New York City Embassy/Consulate website.

Not all countries have fiancé visas. It may be easier to marry in the US and then apply for and receive a spousal visa there. (The French, for example, will give the spouse of a French national a visa more or less on the spot at the Consulate with proper presentation of the paperwork. Any other sort of visa takes "a few months" to process.)

Good luck with it all. The visa process for almost any country can be complicated and frustrating these days, but in general the Consulates are usually pretty helpful. Start with the website, and then try a brief phone call or two to query the details. (Stick to one or two questions per call - most consulate personnel are notoriously overworked.) And congratulations!