Since Mars atmosphere is 95% CO2 you're pretty much good to go there with a moderate supply of hydrogen. And conveniently enough electrolysis of water yields of course hydrogen and oxygen. And water is shockingly widely available on Mars given the regolith is 2-5% water by volume (giving the unit bastardization of 1 cubic foot of regolith = 1+ liter of water).
Most of the issues people are concerned about like radiation aren't, in reality, that big a deal. I say 'in reality' to mean that the radiation isn't enough to just give you immediate radiation sickness, so the real effect will be a probably reduced life expectancy due to greater rates of cancer. Even that isn't so clear for reason outside the scope of this post, but it's not a show stopper in any case. In general early colonists will have a significantly reduced life expectancy - it's just the nature of colonization, and always has been.
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Beyond that the Moon is a nightmare. Relatively minimal resources, 2 week long days/nights that vary between way beyond boiling hot and something close to absolute zero. No atmosphere at all so no protection against meteorites, somewhat higher radiation than Mars, and so on. There's also gravity very near zero which can pose some issues with various processes (industrial/etc).
And other destinations like Europa not only have dramatically more difficult 'local settings', but also have significantly greater distances. For instance Europa is about 10x as far as Mars and a somewhat more difficult trajectory to manage. In practice you're probably looking at upwards of 5 years for a one-way trip. We probably need to level up the tech tree a few bumps before realistically looking at things like that and Mars is a good way to do that.