This is a pretty tight choice, but I think that you would be a fool to pass up on HMS to go to Penn. Don't get me wrong, Penn is a great school, but take a step back, away from the close (#1 vs #4 or whatever) rankings, away from people saying that both are excellent with classes, research, etc.
An old professor of mine used to say that great schools are great for many reasons. Going to HMS, sure you'll incur more debt--not good, even though I agree with the above poster that you should tell them that you would love to come except for that money. But you'll also open yourself up to a lifetime of HMS related activities. Harvard people have mad connections, and Upenn people have far fewer (unless you're at Wharton, and even then, Harvard Business School has many more connections). You may spend more money now, but the doors that are opened as a result of going to HMS are more than at Upenn--- there's no question.
As for Philly/Boston, they are comparable cities in terms of size, culture, amount of opportunities, quality of football teams, etc. Just see which one you like more when you are there, and go with that vibe--because they are similar in many ways, I'd say it was a fit issue. (as opposed to any of these places vs. Houston, there are objective and obvious differences.)
An above poster said that Philly gets the new york vibe and it is like brooklyn -- well, I lived in Philly and now live in NYC -- we say, Philadelphia is NY without manhattan. So it "captures" brookyln but that is like capturing a low-key Chicago. I personally would take philly over brooklyn any day (except i'd miss the hipsters, oh man!) -- but, sorry, of course manhattan wins over all.
The other way to think is, as Amazon.com's founder does, Regret minimization. Will you regret not going to Upenn? Will you regret not going to HMS? I make many big decisions based on this, because regret will hang around for the rest of my life and I can't stand that.
In making this decision, I would also try to think about your views BEFORE this process got into high gear--when your screws became loose and all the information, propoganda, and recruiting got in your head. What did you want then? That is likely what will make you happiest next year as well.
Anyway, it's surprising that so many people on this thread have told you to go to Upenn (So it seems)--- maybe they are on the HMS waitlist or have friends on the HMS waitlist? Good luck! 🙂