People always forget about radiation when they imagine space colonies. Out there, on other worlds, humans won't be shielded from cosmic radiation the way we are by Earth's magnetic field. That's why cities on other worlds are likely to be underground. Here are few places we might build them.
Above you can see a HiRISE image of an unusual Martian feature — a crater with a hole in the bottom on the slope of the volcano Pavonis Mons. According to researchers who imaged the feature:
The dark spot turned out to be a "skylight," an opening to an underground cavern, that is 35 meters (115 feet) across. Caves often form in volcanic regions like this when lava flows solidify on top, but keep flowing underneath their solid crust. These, now underground, rivers of lava can then drain away leaving the tube they flowed through empty. We can use the shadow cast on the floor of the pit to calculate that it is about 20 meters (65 feet) deep.
This is precisely the kind of place we'll want to found future cities on Mars. The planet has a weak magnetic field that allows much more radiation to hit the ground than we get on Earth. People who live there will need a layer of rock to protect them from these energetic particles if they don't want to become sterile or develop cancer.
Here's another Martian lava tube entrance, in Tractus Fossae, from HiRISE data.
Maybe we'll colonize one of these underground caverns, and cap it off with an installation that looks a lot like this one, from an image of an underground Martian city by ZA Architects.
Closer to home, the Moon has a number of ancient lava tubes left over from the days when it was a much more fiery world. NASA has already suggested that an old lava tube, basically an underground tunnel, would be ideal for building on the Moon. There is no atmosphere and very little magnetic field to protect Moon colonists from radiation, so life there would be mostly underground — or in facilities that are heavily shielded. It's much cheaper to use rock to block radiation than build shielding, though. Above, you can see a collapsed lava tube on the Moon (via NASA/GSFC/Arizona State University) — there is actually a small bridge of land between the two holes, which let us peek into the long lava tube.