I'm currently at McGill finishing my Bachelor's and going to Imperial for my Master's next year. I have lived in Montreal for almost 4 years now, and I've been to London many times, but not lived there permanently (yet).
I can tell you that both cities are awesome. I've also lived in Washington DC and Paris and I prefer living in Montreal by far. In both cities (London+MTL) you will have lots of fun and meet a bunch of great people. Both places are very "open" as in very multi-cultural, tolerant, cosmopolitan and just generally amazing in my opinion.
As I said, I haven't permanently lived in London yet, but I can tell you that next year I'll be paying double the rent that I'm paying here in Montreal, even though I now live right downtown, 5 minutes (walking) from McGill and next year I'll be living 30 minutes from Imperial by bus... So London is definitely more expensive.
In terms of school, both are great (as mentioned already). I don't know too much about UCL, I applied there because I knew it had an excellent reputation but can't really tell you about their Arts programs. I know that Econ at McGill is one of the best in Canada (the uni as a whole is considered in the top 3 with UofT and UBC).
To be honest, I think it depends on what you want to do later. US grad schools will know that both schools are top-notch. But for your career, it can play an important role:
If you see yourself developing a career in North America, I would say McGill definitely because even though UCL is an excellent school, not many people have heard of it here in Canada/USA.
And it's exactly the opposite if you want a career in Europe. How many people have heard of McGill in the UK/Europe? 1 in 10? Not even I bet...
In your case, I would go to McGill, but of course I'm completely biased because I'm there now and absolutely love it...
Good luck for you decision!
PS: yes, Montreal is bilingual, but McGill is an english-speaking university (one of the only ones in Quebec), so all the courses (other than language courses) are in english. Plus, the whole downtown area is considered the english "side" of Montreal so you will NEVER have any problems with language as everybody within a 20 km radius around McGill speaks english fluently. The only way you could find Canadians that only speak french is if you venture out in the suburbs off the island of Montreal... I know many Americans who don't speak a word of french (other than bonjour
) and they've never had any trouble communicating outside the uni...