There's one gaping hole in the idea though: where are we going to get water?

One other interesting possibility is colonizing Mercury. It turns out to not be as crazy an idea as it seems at first. Mercury does have water, there's plenty of solar energy, and it's not too hot at the poles. The trickiest part would really be getting there. As deep as it is in the sun's gravity well, it would take 6 years to get there!