For a lot of tasks you could (obviously), build on top of water, or even build on land. The GP posted about deep space exploration and deep ocean exploration. I think we might be able to "kill a few birds with one stone" by first doing one, with an emphasis on doing activities that benefit both...

Long-term self-sufficient habitation has been experimented with a few times (biodomes), but I think that existing in a truly hostile environment probably adds some psychological challenges that can be tricky to deal with. Surviving long-term in a resource-poor ecosystem will also have upsides and downsides that change the subjective experience and could possibly merit further study in smaller earth-based projects before we start involving people in long-term/permanent space-based activities that cost billions...