I would argue the moon is more difficult than Mars to colonize. No atmosphere means landing will always be, at best, a giant pain in the ass, and at worst, extremely dangerous. A lack of water of any kind makes life nigh-on impossible, as well as the moon's extremely long days; Imagine being in the sun (albeit at a toasty 100C or something, but whatever) for fourteen days straight, followed by the longest, coldest night you've ever experienced (to the tune of -120C or worse) for fourteen days straight. That would be a nearly insurmountable engineering feat in and of itself, totally neglecting the other problems.

I think Mars will ultimately prove much easier to colonize. Getting there isn't necessarily hard once we've figured it out; we have the life support systems to keep the ISS going (albeit with constant support from the ground) for 15 years, and we can already do all the orbital math and whatnot. It's just a matter of doing it.