Wouldn't building down make more sense when colonizing a dead planet?

Most science fiction stories has humans building large domes on the surface of planets like Mars or the Moon. But wouldn't it make more logistical sense to dig down and build down into the planet? I could see needing some dome space for human psychology so everyone wouldn't become agoraphobic but wouldn't most living and work space be easier and safer to build by going down? Does that make sense or am I missing something? Why build a large 'fragile' dome?

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Wouldn't building down make more sense when colonizing a dead planet?

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