One of the main reasons they are attempting to go to Mars is because has an atmosphere, and with some help by us humans, it can over time be terraformed. Not to mention Mars has ice water, similar Earth day, seasons, etc, etc. To my knowledge, the Moon has none of these. I however agree that it would make more sense to build a moon base first, then move on to other planets...
The reason why we want a base on moon is Helium 3. I don't know much of a details, but from what i've read its an excellent source of energy. Earth does not have much of it, but moon does.
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