So the dark side of mercury would work fine. On the hot side as long as you are not exactly on the equator the sun acts as a fixed direction and you can use that.
> Anyone know if Mars has any polar stars?
The orbital tilt of Mars is 1.85 degrees (vs 0 for earth) and the Axial tilt is 25.19 vs 23.44 for Earth. So Polaris would be pretty close to being a polar star for Mars as well.