I think HEC is not a bad choice if you can only choose between HEC or McGill.
McGill is the second to none school in Canada, but its Management is really so so... I do think it is second tier bschool in Canada. Normally, if you think of getting a Canadian MBA, the best schools should be Rotman, Ivey, Schulich, and Queen's.
For undergrad, no doubt Queen's business school is the best.