At the very extreme you have the polar ice caps, which do contain a lot of water ice in addition to frozen carbon dioxide. There are many grooves and channels carved into this boundary, where water ice glaciers sit year-round, ready for the picking. So that’s the best bet between sunlight and water access. In the early 2000 a research study called, appropriately enough, Caves of Mars, investigated various possibilities for a good first Martian settlement. Caves offer more than just radiation protection.