Why go to Mars to live in a cave? You can do that on Earth!
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Some do. Consider Manhattan, huge high rise artificial caves. Hong Kong even more so.
But you are missing the point. Living in caves isn't the reason for going. There are several reasons, all summarized in other posts here.
For the first generation at least, conditions on Mars will be harsh when compared to those here on Earth, at the mall say, or in a formal garden. But a generation or two later, Mars will be much more comfortable, at least in the habitats.
Outside, of course, it will still be fatal. But then, so is Ohio in mid winter outside and naked. We live quite well inside however. So will those second or third generation Martians. True, they will have to dress in high tech special suits to survive outdoors, but so do the Ohioans (Buckeyes). They survive by dressing for the weather or staying indoors. Snow suits or space suits, it's really just a difference in what the climate requires. Humans aren't actually suited for any temperate winters after all. We do it by adapting with artificial skins that are adapted for the climate. Humans have done that rather well for tens of thousands of years. Mars is just more of the same.