From Garrett Reisman:

Good question. You are right that the Moon is easier - much quicker to get to, and more importantly much quicker to get home in an emergency, and you can go pretty much anytime, you don't have to wait for a window to open up every 2 years. That means you can go for a few days, a few weeks, a few months or a few years which would let us get experience living for extended periods of time in partial gravity outside the Earth's magnetosphere in a safe and incremental manner. If you go to Mars, you pretty much have to commit for a round-trip duration of about 2.5 years.

But Mars is a much more suitable place for humans to live. It has an atmosphere, a gravity level of about twice that of the Moon, reasonable temperatures and lots of resources that can help support a human colony including oxygen for breathing, water for drinking and methane for fuel. Plus there is the promise of incredible scientific discoveries including, probably, proof of life existing outside of the Earth.

One day it might be possible for a human colony on Mars to be truly self-sustaining. That won't happen on the Moon without continual resupply from Earth.