Today, Mars is very cold and bone dry. While the surface is stable and Earthlike, it is too inhospitable for life to survive there (so far as we know). However, we know that Mars was once warm, and had lots of water in the forms of rivers, lakes, and shallow seas. How do we know this?
1. Mars has a lot of permafrost, which means there is enough water present to form an Earthlike hydrological cycle.
2. Mars is covered in a layer of iron oxide, a compound that forms best in water.
3. Mars has very clear evidence of canyons, alluvial fans, and other structures only associated with river systems.
Now, Mars is too far away from the Sun to naturally have liquid water. Therefore, another mechanism must have been responsible. Some scientists think a massive impact billions of years ago could have altered the atmosphere enough for Mars to warm appreciably.
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What does this mean for us? If Mars once was able to support a hydrological cycle, it stands to reason it could again. All that is required is to raise the temperature on Mars enough for the permafrost to melt. When that happens, the planet will also be warm enough to support human life. People might be able to explore the surface with a simple breathing mask, instead of a full space suit.
How to do this? Chlorofluorocarbons, or CFCs, are extremely cheap to manufacture and are very potent greenhouse gasses. With some research, I'd expect we could devise an even better compound still. These compounds could be made in vast quantities, loaded into shells, and fired at Mars with a gigantic rail gun. Upon impact with the Martian surface the shells would split open, releasing the CFCs. After enough time, the atmosphere on Mars would be altered enough to significantly raise the temperature. The rise in temperature would also melt the carbon dioxide in the Martian ice caps.
Later, we would release vast quantities of blue green algae into the newly liquid lakes. This algae thrives almost anywhere, and would begin converting the CO2 into oxygen for us. We could probably also design a microbe that would break down the Martian rocks to release more CO2 and other gases into the atmosphere, which would raise the pressure.
Given enough time and commitment, with knowledge we already have we could turn Mars into an almost Earthlike planet. It would have liquid water and a thick, oxygen rich atmosphere. This would be a much more suitable planet for colonization than the current Mars.
This would obviously be an expensive operation, but probably far cheaper in the long run than trying to establish airtight colonies hidden below the surface. The ability to move around outside without the need for a spacesuit would be invaluable. People would probably still live and grow crops inside, at least in the near term, but a breach of the colony's structure would not be a disaster.
Obviously, this plan only looks at the technical side of things. There is a lot to be said for leaving Mars in a pristine state. A re-purposed planet might be a better home, but it would drastically lessen opportunities to conduct science. In addition, if there are any microbes hiding out there, I'm sure they would be most displeased to find us remaking their world.