There's another planet with a huge amount of unused sub-surface, and on-surface living space - the Earth. We don't even need to leave the gravity well!
If you're concerned about civilization-ending climate/nuclear disasters, consider that even in that event, parts of the Earth will still be more hospitable for human life then the Moon or Mars.
I think a long term colony on either of these worlds would be much safer below the surface where it would be shielded from cosmic rays etc.
If we can learn to build 'ant colony' style habitats on the Moon, we ought to be able to do the same on Mars once the cost of travel becomes lower.