Bringing a thing from space down to earth should, if we're smart about it, be a free source of energy. If it's very expensive instead, that's from some combination of insufficient capital base and poverty of ideas. For instance, a skyhook -- a spinning tether in orbit -- could lower one payload into the atmosphere and boost another into space, at no net energy cost.

A pretty good, if very old, popular intro to this kind of thinking was Heppenheimer's Colonies in Space (free on the web now).

Mars seems unpromising because it's at the bottom of a gravity well, has an inconvenient atmosphere, should be preserved for scientific research while there's still a chance of traces of life, etc. Asteroids seem way more useful, and the Moon is nearer.