IMHO a key feature of your post is that you are asking me to make a decision for you. I am sorry I am not able to do that. I do not know your personal circumstances, what motivates you, your future goals etc. For example why do you want to do an MBA? I can only comment on factual matters.
i) Will it be good idea (financially or otherwise) to sit for GMAT and go to Canada to study MBA before getting Immigration or I should wait for my Immigration?
In what context? See my comments above. Your financial options are better where you are a Canadian PR e.g. scolarships, loans etc.
ii) How much University fees i have to pay extra then from local students i.e. what can be the difference?
Check each respective insitution - for some no difference for others could be double.
iii) If i get Immigration after i reach Canada, will i still have to bear international fees or University will change my status from International student to local student. Also would then they provide financial concessions i.e. charge fees applicable to local students?
Where applicable fee structure changed upon acqusition of PR status. On concessions see my earlier quote.
iv) If i am in Canada as student, and receive immigration afterwards, do i have to still show $ 10000+ dollars and pay landing fees?
Yes and yes.
Will I have to come back to India for Interview and Medicals?
Interview if needed will be in India. Medicals can be done by any Designated Medical Practitioner from CIC list - they are in most countries.
Since after Medicals I have to deposit by Passport with CHC, how will I go back to Canada to complete my studies.
Most applicants in Canada send their passports to the relevant visa post outside Canada proceed to a land border with the US then return to Canada to land as a PR. Indian passports have a clause stating they should not be sent but many ignore this. You can always fly to India to get the stamp.
v) If my student visa gets rejected, will it have any effect on my immigration?
Depends - if due to fraud yes. If due to returnability then no.
i) If I do Accountancy or Finance in Australia, will it be recognized in Canada i.e. will I on the basis of my education in Australia be able to pick up job in Canada. Why I am thinking about Australia is because it is quite easy to go on Student Visa (i.e. have to give only IELTS).
Depends on what type of accountancy e.g. Management = CIMA, certified = ACCA etc - some bodies have reciprocal arrangements with the Canadian equivalents e.g. CA but such may be on a provincial level. Type Canadian and Australian accountancy bodies respectively in a search engine such as google to see aggreements. My understanding is that the Chartered Accountant (CA) designation in Canada is the most desired/ highest paying. I can't help but think you are working backwards on this issue. What is it you would like to do professionally?
I have heard that Canadian Employer prefer Candidates with Canadian Education and Experience.
Correct - I am aware of many immigrants who have spent a considerable amount of money to retrain to include MBA's only to be dissapointed. Remember the job market is not just about your education, its also your experience, attitude, communication skills not to forget the demand for your skills.
ii) Will I have to face any problem in Case I get Canadian Immigration during my tenure as student in Australia?
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iii) Will it have any effect on my immigration to Canada??
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My observation has been that it is easier to find employment/ settle in a country in which you have been educated in because both you, the government and employers have familiarity.
I hope that helps.
By this time i guess they must have forgotten what the Application was all about in the first place. 
