We'll have to look seriously at living underground on mars. It won't protect us from solar rays on the surface. One of the cheaper ways to protect yourself is to put a layer of rock inbetween you and the sun.
Underground living on Mercury is much more interesting than Mars. (There's a band close to the poles and a few meters down that has very stable and comfortable temperatures.
Wide-open spaces, even enclosed ones, can reduce the psychological burden of confinement quite a bit -- there's a variety of Russian strategic-missile submarine with a swimming pool, for example. This subject also comes up frequently in SF (science fiction, not San Francisco, which has the opposite problem); there was some discussion of it on the "Atomic Rocket" worldbuilding guide, IIRC.
I've been assuming the latter, but I realize now that I don't actually know.