1. Lava tubes will be a cheap form of initial habitable space. Additionally, the Moon is geologically stable;
2. Gravity is too low in both places so you'll probably have to still live in spin gravity;
3. Mars has an atmosphere but it's basically a vacuum. It's just enough to cover all your stuff in dust;
4. Mars is poisonous. The surface is covered in many toxic substances (eg perchlorates);
5. People have a vision of living on the surface of Mars. That'll basically never happen. Radiation is still a problem. Living underground just makes way more sense. And any above ground structure (eg domes) can just as easily be built on the Moon;
6. Distance from Earth is a significant downside to Mars and a significant advantage for the Moon. You can still maintain real-time communication with Earth. And supplies are days not months away.
Mars really only has 2 advantages:
1. Day length. Mars day is almost Earth normal. The Moon is tidally locked so its day is ~28 Earth days long; and
2. Day-night temperature differential on the surface. It's really large on the Moon.
Why this matters is that even though you'd be living underground you still need power and solar power is really the best option. On the Moon this means your best options are the poles.
The standard retort is "terraforming". People who say this don't seem to comprehend what a massive undertaking this is. Example: the Earth loses (IIRC) ~1 million tons of atmosphere every year due to Jeans Escape Energy. That doesn't matter on Earth because the atmosphere is so much more massive.
So at actual atmosphere on Mars would have to be so large such that a similar loss would be insigifnicant.