Mars has appealed to the human psyche as a substitute earth for centuries. And Mars is, arguably, the most earth-like of all the other worlds in the solar system. Unfortunately, "most earth-like" isn't actually enough earth-like to be helpful. In fact, it's just earth-like enough to be a real pain in the butt.
First off, there is an atmosphere on Mars, and very high winds. High enough winds to make thrust-only landings (like the Apollo missions did on the moon) impossible. Unfortunately, the atmosphere isn't dense enough to do much of anything other than disrupt landings, and provide some small amount of protection against solar radiation. The average atmospheric pressure on the surface of Mars is about 6 millibars. For comparison, the highest atmospheric pressure ever recorded on earth at sea level was 1086 millibars in Tonsontsengel Mongolia on 19 December 2001, and the lowest atmospheric pressure ever recorded on earth at sea level was the eye of Typhoon Tip on 10 December 1979, at 870 millibars. The lowest barometric pressure recorded at the summit of Mount Everest is 337 millibars, which is just about the bottom threshold to support human (or other non-aquatic vertebrate) life. The Armstrong Limit, below which saliva and tears (but not blood within the body) at normal body temperature boil, and below which a pressurized suit or ship are absolutely required for survival beyond a minute or so, is about 62 millibars. The highest pressures on Mars are about 10% of the Armstrong Limit.
Also, Mars is very cold. The very coldest temperature recorded on the earth's surface was -89°C (-129°F) at Vostok Station, Antarctica, on 21 July 1983. The highest air temperatures recorded on Mars are -17.2° C (+ 1° F), the lowest -140°C (-220°F), with a mean of -63°C (-81.4°F). The highest recorded soil temperature is +27° C (+81° F), but the atmospheric density is too small for that to warm the air to any significant degree more than a few centimeters above the surface. So your feet could be comfortably warm, but the rest of your body would be subarctic.
Martian gravity is about 38% of that on earth. Which isn't ideal, but it is significantly better than any of the candidate moons (Europa, Ganymede, Callisto or our own Luna). The other big advantage is that Mars has water ice, possibly lots of it, very near the surface. And, compared to our moon with its rather finite number of good candidates for surface colonization, pretty much any location on Mars is as good or bad as any other. This isn't to say that there aren't sites which are better than others, but most of the second-tier sites are not that much worse than the first-tier ones. Which means that, once we start colonizing, we can make (and sustain) pretty large colonies. And eventually, settlements rather larger than "colonies".
This is the greatest appeal, I think, to colonizing Mars, rather than the moon or an orbital space station. The potential scale is limitless.
The main advantages of colonizing Mars over colonizing the Jovian moons are proximity and ease of colonization. But there are ethical considerations as well. We may find that the icy moons of Jupiter and Saturn are already colonized.