Very large caves...cavernous spaces. The radiation from Solar flares, Cosmic Rays, etc. means humans need a lot of shielding and that really only comes from a lot of mass between you and the vacuum. If we live on mars, moon or somewhere else, it will have to mean living underground. Earth has a magnetic field and an atmosphere that traps, deflects and degrades most high energy particles (==radiation) before they get to the ground. Other problems solved by caverns include: The moon and Mars change temperature 100C or more between day and night. Micrometeors that make a nice glow as trails at night on Earth act as a 30,000 kph BB gun on the moon. Living outside is very bad for your health.
I really want to see what a 100 meter wide, kilometer long cavern looks like from inside. The roof is 100 meters or more thick and has survived for billions of years. It should not be too hard to seal and pressurize it. The first images from a camera lowered into such a huge cavern, with the right lighting. will be stunning and will change the way we view living in space.
"Sometimes insanity is the only alternative" -- button at a Science Fiction convention.