My advice is to work backwards - figure out where you both will ultimately be living, and where you both ultimately want to have residency (or citizenship). Contact the State Dept. or equivalent government entity for that country (and state/province, if known & applicable) and find out what their rules for marriage are.
Rules vary widely based on which partner is the foreign national, which countries of origin/residency are involved, and any language or political obstacles. Some countries make it "easy" upfront to marry across nationalities, but then there are difficulties when trying to obtain required later documentation - work/student visas, permanent resident status, "married" tax status, etc.
My (American) brother met my sister-in-law here in the States (she was on a vacation-tourist visa), but they married in her home country of Lithuania, because of love/romance. The first problem was that our English name does not directly translate into current Lithuanian-government regulations, so the spelling is slightly different from US-legal on their marriage certificate. Since they both moved back to the US, there has been a multi-year process where she has had to renew her visa (back in Lithuania), and jump through a bunch of documentation & interview hoops to comply with US Immigration & State Dept. statutes. There was at least a 6+ month period before she was able to get approved to work here, and even then there have been issues.
Keep in mind that you can have your ceremony wherever you want, and consider yourself married. However, you are probably better off getting legally married in the country that will be your primary residence.
(Also, I don't know if it applies in your case, but the future-citizenship of any children may well be affected by the country-of-marriage. Again, rules vary.)