You may go to Canada or Mexico only if you have some spare money. Sometimes, there can be a wait or detour to Nepal ( because of lack of documents etc. ) . Getting a H1b visa from Nepal is relatively simpler and so far every body I have known have got the visa...

I know three persons very well who took different approaches- Mexico, Canada and Directly to Nepal. The one who went to Mexico had to wait for one more week than predicted because of some documents check.
All three got H1B visa comfortably. One good thing about going to Mexico is that you don't need mexican visa, and you would save some money. Good thing about Canada is that, you can get multiple entry visa which can be used for later on too.