Mars has no magnetic field and very little atmosphere, which makes it a terrible place to avoid cosmic rays.
Mars, venus, and mercury have next to no field, earth has a moderate field, and all our gas giants have very strong fields.
Some of the gas giant moons are attractive since the gravitational effects on the moons can create geo-thermal energy. Pair a large planet with a strong magnetic field and energy created from gravity and we might have something interesting worth exploring.
I do not think this is perfect though, due to the size of our atmosphere we are shielded from meteorites,, this might not be the case of these moons. We would need to consider making some way to protect ourselves like harvesting ore from surrounding areas. Even then this might not stop large collisions.
However, if you assumed that we were able to go the bottom of the ocean, transporting supplies there would be much easier than transporting supplies to Mars.
Except we reached it four times since 1960 : https://en.wikipedia.org/wiki/Mariana_Trench#Descents