Both are significant dangers, but radiation from the sun can be shielded fairly easily. Not so high energy cosmic rays.

You can for example put an entire planet between you and the sun radiation by going out at night.

Doesn't matter too much for the rocks: if a few metre of rock won't absorb the radiation, neither will your body.

That doesn't make too much sense to me, since your body could be harmed by absorbing only a fraction of the energy of a large radiation dose.

Valid point. Though I think given the spectra involved, it probably doesn't apply.