Mars has no magnetosphere so it's very hard to have a breathable atmosphere.
The moon's barely got gravity, and our bodies need it.
A space station would be a good start so long as it spins so we can have the semblance of gravity.
No one knows if you can turn a profit mining asteroids.
If mining techniques reach the same level of advancement as on Earth? I don't see why not. I also don't see why bother to send ore back other than to pay-off some initial investment.
(One of) the biggest obstacles in space is leaving Earth's gravity well, so sending mining machines to the asteroids would be interesting. Then maybe move the ISS to a La Grange point instead of destroying it, use it as a base to turn that ore into a spinning space station.