In some ways the inner soloar system (Mercury & Venus) can be difficult to orbit. And interest in asteroids actually spawned a year ago as a result of the commision reccomendation, rather than just last week from Obama's speech.
As far as Mercury:
Just look at Messenger, and its contorted orbit. Yes you could go more directly at a cost of much more propellant, but it isn't all that economical. Also, consider that Mercury is in 3:2 resonance with the sun, so that every part of its surface falls on the sunlit side at some point, meaning a potential outpost would have to survive brutal radiation.
As far as Venus:
It might be interesting to do stuff in the atmosphere, but what is the fallback position? In the event of an emergency, like say we are experiencing on ISS, what do the astronauts do? On Mars one could concievably put an outpost partially underground to help with shielding as well as provide a safe harbor during emergency. Floating on a gigantic airship somehow makes me more nervous given that both are on different planets.
I am not a big fan of Asteroids myself, but they do offer a variety of different mission requirements. Personally I still like the Moon, but there are some asteroids that can be reached for comparable energy that the Moon can be, especially considering the Moon's gravity well is substantially more than any asteroid. Asteroids are small enough to explore quickly, but new enough to be worth some of the effort. If it helps to re-energize NASA then I can support it.
I just don't entirely trust that the Obama administration is proposing a real program, rather than just killing off something that George Bush started to spite him. I mean there has been talk of heavy launchers, but it seems to me that it is Congress insisting on funding for the proposed launcher, and the administration just using a back door to kill off Constellation (Enterprise was Constellation class, how can all the Trekkies sit back and take it, lol).