Montreal or Vancouver for an exchange student?

Based on what you said, I would recommend Vancouver. It's warmer in the winter, and its closer to the United States, though not by much. You can get to Seattle relatively quickly, around an hour or two. Driving to the US from Montreal, you will see a lot of farms and small towns, not very fun. Both cities are close to ski resorts. Montreal gets very cold in the winter, and the main language is French, so be prepared for that if you choose to go there. Have a nice trip!