To work ALONG WITH HVAC, I'd go with electrical. You'll use that knowledge much more.
If it was INSTEAD of HVAC, or as a backup career, I'd go with plumbing. Plumbing leads much more to problem solving, and making a distraught customer happy.....which, like HVAC, is a big emotional driver for many.
Comparatively, very little electrical work consists of "saving the day" for someone....unless you're into heavy controls work or something of that nature.
They all go hand in hand if you think about it. I work for a company that does it all. i may install one day. service the next do some plumbing or electrical. I never know one call from the next. I like it that way cause it keeps my day interesting.
The biggest difference with Plumbing and Electrical from HVAC/R is there is a big gap in the work they specialize in. Many plumbers and electricians will only do residential and never set foot in a commercial setting. Some will work on large commercial projects and only run water pipe or pull wire. Most HVAC/R guys are more well rounded in their training.
With that said though I have worked with some Plumbers that have their A gas tickets that have to teach the sparkys the low voltage control circuitry. I have also seen a Electrician trying to dumb down an explanation of how to wire a light switch to a plumber.
A plumbing company that specializes in geo, solar, boilers, steam and gas fitting will have an easier time doing HVAC that a residential guy that cleans drains.
Most electricians struggle with control wiring. If you get into a company that does controls your transition would be a lot easier than some guy that pulled wire for 4 years.