I've always been more excited about a Moon colony than a Mars one. I mean, compared to Mars, the Moon is ridiculously close. Many of the same benefits Musk seeks (backup for Civilization, excitement) for a fraction of the cost. Low gravity and atmosphere on a dome would be more complicated, but again, compared to Mars, it's right there . It would be a more humble and realistic first step, IMO.
And for almost everything that is not launching related (radiation, resources, ...) a Moon colony faces the same difficulties with better recovery possibilities in case of catastophic failure, so it's a better learning ground (I mean, if your food producing bio dome or whatever dies for some reason you probably want to be on the Moon with emergency supply very close rather than out there on Mars).
The only downside I see is that a Moon colony would not offer the same quality of "backup for civilization" as Mars would, and it's also a harder sell on the public and politician I think.