I had my visa stamped in mexico. My attorney was of the opinion that by far mexico is the safest place to get visa stamped. Howver he did not substaiate his reasoning. And this was in august 2001. Recently, he also recommned not going to the home country for stamping since there might be signifiant delays.
My experince with Mexico is that the entitre process is totally disorganised and messy. Canada might be much more organised.
Its my opinion again, that risk depends on the 'cousulate officer' rather than counsulate itself. A grumpy officer and you are a dead duck, a sweet chap and visa is a breeze.
regards