Several answers, it really depends on answering the 'why' question.
- Survival of the human race.
One of the bigger arguments to get us to space ultimately comes from human redundancy department of human redundancy (HRDHR?). From a purely survival standpoint, we are currently 100% dependent on the Earth and had an extinction level event occurred here, the human species is potentially gone. From a purely survival standpoint, getting off of Earth and somewhere else is the survival through redundancy option...if Earth is eliminated through events out of our control (yellowstone become a volcano the size of Wyoming?) then our species only hope for survival is not to be on just Earth.
If survival of the human race / species redundancy is your goal...I would suggest a moon of Jupiter as our first colony. This gives a few advantages...if the sun enters a dormant phase that heavily impacts earth, this Jovian colony wouldn't care much as it could be dependent on Jupiter for energy derivation instead. Mars, moon, and venus are far less desirable as a large scale event could effect both Earth and this new colony. The further away from Earth and into the outer solar system, the better.
- Stepping stone to bigger and greater.
If this is the first step towards a bigger goal of space colonization, then the very obvious choice becomes the moon as it becomes a space dock / construction yard. Ultimately it takes a lot of energy to get away from the Earths gravitational pull and even more energy to get up to an orbital speed. Reversely, the moons gravity is significantly easier to escape and you're already orbiting earth. It makes it far simpler to create the ships on the moon and use it as a construction site to create the infrastructure required for further expansion
- Home sweet Earth like home
It's a bit of retro-futurism...the idea that we can take 60's Earth culture and simply transplant it to another world. Turn some planet into Earth and setup white picket fences and perfectly mowed lawns as far as the eye can see. If we are looking for this second Earth like home, the terra-forming Mars effort is likely your best bet.
A little further out there...but our current human species is ultimately bound to Earth. We function with the gravity and atmosphere here...the food and water that are a core requirement to us is found here. That said, there isn't that much Earth out there and we need to have the realization that different colonies need to adapt differently...assuming there isnt a magical solution that allows faster than light travel, we need to admit that isolation of humans in different environments is going to create new races and subspecies of what we currently consider human. Whats a human that's never been exposed to gravity greater than microgravity going to look like, and how much isolation and time do they need before we call it a new human species? What will a high gravity human look like? If you're looking to expand human evolution and create a zero-g specialized human and a human race that's independent of Earth, then the asteroid belt becomes a decent choice.