I don't have any first hand comparisons, but I would rather connect at YHZ than YYZ. However, I wouldn't accept a much longer travel schedule or too much higher a fare to avoid Toronto.

If you do connect in Toronto, AC flies from terminal 1, as does United and US. Continental, Delta, Northwest and American fly into terminal 3 (which is where you'd find Westjet should they become an option for you).

If you fly the same airline all the way through, when you arrive at either Canadian connection point, you'd claim your luggage just before immigration, clear, and put the luggage on the onward belt, then carry on to your next gate. Honestly don't know how you deal with it if you are changing airlines.