As with all complex matters there are numerous considerations and issues with all of these. Moon is close, we've already been there, escape velocity is low but

As with all complex matters there are numerous considerations and issues with all of these. Moon is close, we've already been there, escape velocity is low but there appears to be very little water, not very accessible at least. The day/nigh cycle is 28 days long, so there are issues with overheating during the "day" and lack of power during the "night". Solar radiation induces static charge on dust, which makes it go everywhere, particularly difficult condition to run mechanical devices for long periods of time. That said an air-sealed cavern on the Moon could be a great intermediate solution for making humans interplanetary. Electromagnetic launcher could also make our interplanetary ambitions more sustainable. Mars on the other hand has an atmosphere (faint but still), better day/night cycle, more accessible water and carbon dioxide - allowing to manufacture rocket fuel and many chemicals needed for agriculture. Ultimately it seems better then the Moon in many respects, but it is very far away. In case of emergency there is very little that can be done to evacuate, transporting anything there will be more expensive (though not that much more expensive than the moon actually). There is the danger of irradiating astronauts during the trip, so crew missions should take faster transfer windows and trade more fuel for speed. Cargo missions could take longer, with better fuel efficiency. Asteroids would be great but they are hard to work with because of the very low gravity (and electrostatic dust as on the Moon). Capturing one, though perhaps theoretically possible, would require enormous amount of force to change the orbit in any meaningful way. Perhaps detonating a hydrogen bomb near one could provide enough thrust, but likely not enough precision (we would not want such asteroid to accidentally hit the Earth). It would take many years to tow one any close to Earth with regular propulsion, so that is probably out of the question for now.