My theory is that, even though it may sound a little science fiction, giant bubbles on the surface of alien worlds could house our cities. We could load up supplies to build a fairly small bubble to house our supplies and workcrews as we stock up to build a bigger bubble, and repeat the process until there is a big enough bubble to make a living out of.
These bubbles would be built to reflect most of the harmful sunrays while at the same time absorbing some of the sun for light and energy. The bubbles would also be equipped with large oxygen tanks that continually pump air out and recycle air in. From there it's just a simple matter of building a city as you normally would, including plumbing and power lines.
Now, assuming this is built on the moon, the surface is extremely hot on the sunny side, and it may prove too much for the bubbles. In that case, we still have the bubble city, but on large wheels to continually drive it into the shady side. This would eliminate large cities immediately, but for adventurous folk who want something new they could live in small colonies on wheels.
And then on the other foot, we have Mars. It gets pretty hot there too, but wheels wouldn't work on most of that terrain. Not for a colony, at any rate. Mars would definately require a stationary bubble city. Besides, the biggest trouble on Mars is the sand storms, which are far more powerful than even the strongest winds of the strongest storms on Earth. The bubble shape would generally allow the dust and debris to flow around and on top of it, leaving a lot less pressure on the main structure of the bubble. In my mind, it would work.