I used to be firmly in favour of a Mars mission, which is definately the sexier option - new frontiers etc.
However, a permanent Lunar Base offers so much more...
First, in all likelyhood, it would be an international collaboration - and believe me, us Europeans want to be involved, as do the Indians, Chinese, Russians, Japanese, Canadians and most likely South Koreans too. Financially this is far more viable.
Second, a Lunar mission would open all sorts of opportunities for commercial enterprise - resource utilisation being the most obvious (strip mining, processing, manufacturing).
Third, and perhaps most important, with a scientific/engineering based lunar community, we can start building probes & rovers and send more science missions for less money. Heck, we can even test the things in a deep space environment without leaving the lunar surface. At 1/6g we can build enormous manned telescopes with 14 days continous viewing of an object - a super VLT & Hubble rolled into one.
Thanks, but I'll take the Moon over Mars everytime.
We just need to make sure we have an adequate water supply.