Well, planets which are practically identical to Earth would have advantages... provided you intended to abandon space for ground living again. Remember, my point is that once you're in orbit, everything you need is in easy reach. Why go back to ground again? If a planet isn't Earth, then it won't be much like Earth anyway.
I'm at a loss to understand why you're so fixated with living on planets. That you would consider almost any planet or moon over a colony. Colonies will be easier to build with existing material in orbit, and promise ideal living conditions, while planets and moons will be expensive and dangerous to get on and off of, and provide unnatural living conditions.
Swiss Cheese Planets:
Tunneling Luna, other moons or planets is still pointless. You don't take into account that due to structural needs, you'll have to leave a lot of solid rock untouched, and you'll still only be able to go down a few miles, wasting most of the interior. And the excavated material needs to be taken into account, as it must be dumped atop the ground outside, creating more pressure. A manufactured colony shell will be much thinner, stronger and bear very little weight other than it's own. If you were a giant, and could hold it, it would feel like a kite. It'll still be plenty thick to stop any ionizing radiation, perhaps even a nearby supernova extinction event that sterilizes Earth.
Tunnels and chambers in a world other than Earth (or Venus) would have the wrong gravity for modern humans. They'd be no place to live. Because we know that microgravity causes the human body to malfunction, it is not valid to assume (or hope, really) that merely "low" gravity will be just dandy. It may also turn out that centripetal pseudogravity doesn't fool the body into behaving either, but then that means we'll never live in space at all. I think that 1-G pseudogravity is more likely to work than various low gravity environments. Those "tidal forces" are believed to be imperceptible on a colony of a few hundred meters diameter. We can build that. Tensile strength is a non-issue. Ordinary asteroid rock is thought strong enough, but these colonies will be built out of an almost ceramic concrete sintered in place with solar light like a gigantic 3D printer. The walls will be cellular or corrugated for even more strength and utility. Your "honeycombed" moon idea will be full of natural flaws and material variations. It'll collapse under it's own weight unless you're a very conservative architect.
The shell of the colonies will be built in layers with embedded tunnels and chambers. Places to run pipes and subways, install machinery and hydroponics, rooms to store raw materials. High-energy impacts might pierce the outermost layer, but then an interesting thing happens. The debris showers across the next level with far less impact, likely being contained. This does not happen with a thick single layer. I don't know just how common impacts are in near-Earth space right now; they'll likely be worse after we've been tossing bags of crushed rock into low-lunar orbit to use in the solar forges, but it appears that the satellites we've launched are only encountering micrometeorites chipping and scratching at them. Oh, and that damn Chinese debris. Our mining debris will likely be fairly low-energy because our orbital stations and activities will all be done at relatively similar speeds. Destructive impacts could be a once-in-a-lifetime event. So we can design to survive that.
Because of these micrometeorites, as well as the bigger rocks, I don't like the idea of our colonies featuring gigantic windows to let in sunlight. I love the idea of living inside an O'Neil Cylinder, but those mammoth windows and mirrors make me cringe. Someone who understands optics would probably like to tweak my solution: I would go for a significantly smaller single solar window at the tip-end of the colony (assuming a cylindrical shape) and which is inset within a wall or length of tube that protects from direct impacts. The solar mirror array only needs to focus a fairly parallel beam straight through this window. Running down the whole length of the colony, at the zero g axis, is a hollow, frosted glass tube lit from within by the diffused light it conducts from the solar window. The tube may or may not be holding vacuum inside. A state of vacuum would lower maintenance due to eliminating environmental exposure. The light simply fills this frosted tube and reflects back and forth, creating a sort of gigantic fluorescent tube effect (but with better color!). There may be movable mirrors inside which help distribute the light evenly along the length of the tube. If the mirrors are in vacuum, they would be protected from tarnish and dust. They'll likely be made of common nickel which would tarnish inside the atmosphere. If the system requires active cooling, then a nitrogen atmosphere inside the tube would do the trick. Lighting inside the shell's corridors and hydroponics farms could be provided by polished nickel light pipes branching from entry points around the colony's solar window. Nighttime would be when maintenance takes place, while the light is focused on industrial activity in an external factory.
It makes more sense to me to use a simple passive arrangement to let light do what it does naturally, than a complex active system to force it to do what we want. For example, I would do this: http://i.imgur.com/v2UUOSv.gif
not this: http://i.imgur.com/QUEWqcs.gif
Or, all of the colony's lighting could be done with electric bulbs, with the power either coming from a photo-voltaic solar panel array alongside the colony, or even tight-beamed all the way from a hypothetical Mercury power station.