I went through this exercise a couple of years and looked at various options, weighed up the pros and cons and cost. Apart from what others have mentioned remember it's a three step process, and could involve three returns to Mexico. If you have free travel cost may not be a problem but time and convenience might be.
The options I looked at on cost basis were Poland, Hungary and South Africa. Decided in the end not worth it, do it where you are based. Given a choice between Canada and most other countries I would not give it much thought. It's a complex and potentially risky process and the results of a bad job could be very serious and take a while to manifest themselves.