Tough choice! Which ever way you go you will have an amazing experience!!
I prefer London as a city I was not overly impressed with Milan. In saying that I am a big fan of London and the diverse attractions of London besides the weather.

However the Italian people are great and I think you would have a great time. Milan is near some fantastic places with Lake Garda being one of the best places on earth!! If it was my choice I would go for the challenge of Italy only because I have lived in Dublin and spent a lot of time in London so it would be a great change but I would try and get out of town on the weekends (which can be a massive head ache as most people leave Milan on the weekend!)