[rbanffy]

There is no reason to require the place to hold an atmosphere - you just need to build your colony underground (which you already have to do to protect it from radiation). The Moon may be interesting for magnetic launch systems (no atmosphere, plenty of energy and reduced propellant requirements) and all kinds of metallurgic processes (no atmosphere, low - but not too low - gravity). Mars is also interesting if you can industrialize the manufacture of fuel and oxidiser from the atmosphere - gravity is low enough you can make it into a chemical rocket fueling station (landers and such will still use chemicals for a long time), at least until we develop some icy moons further out.