It is not which city is the cheapest, the thing is LHR and LGW have the most flights so it is easier to find a cheap fare available. What I usually do is that, I fly to London and then use a LCC to get into Continental Europe, where I live now. So my guess is first London and then Paris if you want availability of cheap fares.
Also, I usually use airline miles and find flights during peak periods travelling to London and then using BA or IB to get into continental europe with the same ticket.
Hope it helps.
CB