Why is there no talk (that I hear) of starting colonies on the moon? The main drawback I see to the moon is the lower gravity (~one sixth of earth vs ~one third on Mars), but that could be addressed with, say, daily centripetal force sessions. I don't have a problem with going to Mars eventually, just think we could work out a lot of bugs in this venture by starting significantly closer to home.
The thin atmosphere of Mars and the 24 hour day both give a substantial benefit to Mars. The atmosphere of Mars allows for ease of getting oxygen and carbon dioxide, both of which are quite essential. The atmosphere allows it to block micro-meteors, and some radiation protection. It also allows for less pressure requirements to be placed on it, allowing for transparent materials to be used. That allows for growing plants much easier than it would be with an opaque dome.
It has the near 24 hour day, which makes things quite a bit easier to survive, from solar power to plants, it is preferred.