Both are good. I've heard good things about Ubisoft, but I also heard that their work environment is majority french (is this true? You're the one who's been there, after all
). As for EA Games, I'm actually starting an internship with Concordia's co-op program there in about 2 weeks, so I could let you know how that goes, and ask them any questions you might have.
But yes, definitely complete Cégep first. As for university, depending on what you want, McGill may or may not be the best choice. Most of my friends actually went to McGill, and though I also got accepted, I chose Concordia, 'cause of the co-op program. McGill does look better on a CV, but to be honest, in the games industry (or so I've heard), at least, after you've held down your first job, they pretty much just glance at your degree to see if you have one and focus more on past experience. Just remember that McGill isn't the be-all and end-all. That being said, if your friends are going to McGill, your parents want you to go to McGill, and you really like their class list; it's a no brainer, go for McGill.
Actually, instead of OpenGL, which is a personal favorite, you might actually want to learn DirectX instead. It's used for most computer games these days, as well as Xbox360 games. Though I really like OpenGL, mainly 'cause it's not Microsoft, and runs on non-windows systems.
Also, do you go to Dawson?