The ISS partners are seriously planning for a space station orbiting the Moon, Lunar Gateway, much smaller than the ISS. Also Roskosmos is planning an own spacestation around the Moon, but until now it is not even sure if the OPSEK-program will continue .
Here's a primer on the Gateway, the moon-orbiting space station that NASA plans to start building in the next half-decade.
www.space.com
Europe will provide a habitat module and a refueling module for the Gateway outpost.
www.space.com
Because of the thin layer of atmosphere and a greater gravitation, Mars will be slightly more liveable than the Moon. The protective gear, vehicles and living quarters for on the Moon should be safe enough to be used on Mars. And like Ananda already said, there are plans to construct a Mars-base partly underground, to protect humans against radiation.