We'll have to look seriously at living underground on mars. It won't protect us from solar rays on the surface. One of the cheaper ways to protect yourself is to put a layer of rock inbetween you and the sun.
I've been assuming the latter, but I realize now that I don't actually know.
Not to mention that you need to make the materials such that they resist a huge side pressure, water leaks and so on.
Psychological costs are also costs.
Tangential: the source [2] is pretty interesting.