Why build space habitats on/within moons?

Consider yourself a decision maker for a fledgling space infrastructure project. You've been tasked with establishing the first few extraterrestrial colonies for your species.

What aspects of the Solar System's moons make them more (or less) attractive than other bodies (like comets, asteroids, and/or airless planets)?

Are any of these clinchers (reasons that make it obvious to establish or avoid colonies on moons)?

09/30/2015 edit/addition: I can imagine several reasons and/or constraints for a space colony:

1. As the first piece of essential space infrastructure
2. As a transportation hub
3. To become a self-sufficient colony
4. As life insurance for the human species
5. As a profitable venture

As many of you have already realized some of these overlap. A successful colony would possess multiple aspects of these to some extend.

But let me elaborate on some consideration.

Location

Space travel is more tightly constrained by the propellant budget (delta V) than the time scale. Other than finding safety from major solar events, one place is rather like another in space. Locations very distant from Earth (Deimos, Earth crossing asteroids, etc.) might be "very close" from a delta V budget perspective yet be very distant from Earth.

Distance isn't the constraint, delta-V is the constraint

Resources

All colonies will require extensive resupply from Earth in the beginning. However, colonies located at sites with essential resources have a hope of becoming self-sufficient for bulk necessities (propellant, water, oxygen, plus construction materials) in fairly short order.

Furthermore, a permanent settlement in most locations of the Solar System will require radiation shielding and radiation shielding requires mass. So a man-made settlement in mid-Earth orbit probably can not compete with other ideas unless an Earth crossing asteroid is brought into orbit and used for materials.

Some resources are more valuable to the colony than others. A new colony will want large quantities of water, oxygen, nitrogen, and hydrogen to begin their closed cycle ecologies.

A self-sufficient colony requires resources in bulk.

Size

Obviously, humanity's initial colony attempts will tend to be smaller so we can learn without endangering the lives of millions. But the number of people that we intend to settle makes a huge difference on which bodies would be viable sites. For instance, if the goal is to resettle a large portion of the Earth's population, Mars would have to be the main colony site. No where else in the Solar System has as much "hospitable" real estate as Mars.

Energy

If the colony is established outside of Mars orbit, then it will necessarily use a fission reactor (unless we assume fusion is available by then). From a mass perspective, it will likely cost more launch mass to power the colony using solar power than fission (unless something like a solar concentrator method is used).

Communication

The further away the colony is from Earth, the slower communication will be (both latency and bandwidth).

Export

Ultimately a colony trying to become a viable commercial venture will need to produce something for Earth and do so more economically than it can be done on Earth. The reality is, it competes with terrestrial markets, it is going to fail. The only location your colony has an advantage / barrier to competition is in space.

So my thought is the colony will initially build and service satellites for Earth. Along with this, a colony with access to lots of volatiles (e.g. water) can be contracted to clear all the junk from terrestrial orbit. Incidentally, it'll provide the colony with a bunch of valuable already refined materials.

As a side business it will do many other things (e.g. build fantastic astronomical facilities, perform probe flybys, serve as a tourist destination, and perform sample return missions for Earth) and these might be highly profitable but I don't think of them as high volume business.

Unless there's a compelling reason why it makes more sense to do it in space than on Earth, initially the colony won't be in the manufacturing business. I understand that some process work better in space (it is possible to make better ball bearings in space - perhaps for very expensive high precision machinery? I've heard it is easier to control crystal growth too) but the colony's first goals will be to provide its own bulk materials. The low mass stuff requiring a lot of infrastructure will come later.

Selection Criteria

What I want is a location that provides:

• Room for a colony of small size (50-500 people)
• A convenient (from a delta V perspective) destination for Earth and other points of interest
• Access to in situ resources - especially water, oxygen, hydrogen, carbon, nitrogen, and basic industrial materials/metals
• Adequate radiation shielding
• Adequate power
• Ability to expand (from a room and resource perspective)
• Not a necessity but bonus points for, providing a reason for tourist travel (view, uniqueness to the surrounding, etc.)
• Not a necessity but bonus points for, providing the ability to
  establish or expand a manufacturing base (drugs, crystals,
  electronics, ball bearings, extra pure silicon for chips, and other items made best in zero gravity, vacuum, or both)

FYI, my favorite McGuffites (reasons for going to space) are room temperature electrical superconductors, pure vacuum required for making very long (km+ length) carbon nanotubes, and alien artifacts.