Basic question is what you mean by "colony". My personal guess is that what you will get are initially expeditions where a few humans visit, do research, leave instruments and go home. After that you get "mining camps" -- long-lived outposts where humans are based for a few years to do jobs that can't be done by robots managed from Earth. The ISS is a very minimal example of this in LEO. If the work is producing sufficient return (in science or good or whatever) then these camps gradually expand as it becomes convenient to base people there for longer and to make them less dependent on services from Earth. Eventually you get something which actually can survive on its own and trade with Earth on a more equal basis.
The moon is surely the first target for expeditions, followed by near-Earth asteroids, then the moons of Mars, then Mars itself, then maybe more distant asteroids.
Which, if any, of these ever progress to the "mining camp" stage depends on what is discovered. We might want to mine the moon for He3 or for mass for orbital construction, but it's fairly easy to teleoperate machinery on the moon from here.
Asteroids might be targets for actual mining, aiming to shop back metals carbon and (maybe) volatiles to Earth orbit, or even eventually to Earth. The problem is that they are very spread out. There's no obvious place to have a colony or camp which is more convenient for very many asteroids than Earth is.
Mars might be a source of volatiles (ice) for Earth orbit, or a research target -- for example if life, or clear evidence of complex past life was found.
Everywhere else is really too far away and/or too hostile to be a near future target.