So you want to live on Mars...
... or any other floating rock with low gravity and a thin atmosphere.
I put some thought into this, and throwing enough 'raw' materials at the problem can actually make it damn simple.
You will however need a large amount of refining/processing equipment and this involves heavy construction practices (granted, moving material is much easier, though the cost of the energy is... astronomical).
Show up. Dig two large, extremely deep pits (talking miles here).
Place your constructed digs deep within one, sealed nicely except for the bottom.
Connect the two pits with a tunnel at the bottom.
Place a lightweight membrane over the other tunnel.
Fill the other tunnel with a water (or other fluid/fluidized material) and slurry mixture to the top.
What you've just done is use gravity and hydraulics to automatically pressurize the air chamber in the second pit, where you live... and you've got a nice ready supply of raw materials from which to process out potable water, chemical energy, and other raw solid materials. Actually, depending on the choice of fluids available and other conditions you may even be able to get away without a membrane, the working fluid forming a skim of ice or solids on top preventing evaporation. A thick mud would actually work brilliantly so long as it stays in colloidal suspension without too much work... the extra density from the suspended material would mean shallower pits.
Now, raw materials... I'm wondering if sunlight is strong enough for a concentrator to heat plain old dirt beyond the dissociation point for some of the oxides... Set it up, collect the outgassing, you get a plug of raw metal and usable gasses to pump down, mabe even bubbling through the "living pit" slurry for innate "processing"... have additives in the slurry to soak up the more reactive gasses, or if you pre-process them and use a 'raw water' hydroplug (look ma, I made up a new Sci-Fi term!) you could aquaculture it... algae, plankton, maybe up to aquatic plants and fish (there's a culture of trout living in the Lost Sea in Sweetwater, rather happily) to supply food and help with waste removal.
Actually, processing of organic wastes is even built in here... just mix your solids in with the feed line for the solar concentrators. You're recapturing carbon and water, sterilizing the waste feed, and there will be plenty of plant nutrients in the "ash" from the process. Need "better" chemicals? Adjust a locked-off section of the aquaculture and collect the ammonia. Stage that though, sick fish on the moon doesn't sound like fun, especially when they're eventually going to be dinner.
Lighting? You've got solar concentrators on the surface, just run fiber optic light pipes. Breathing gas refinement? Send some exhaust through a surface line just shielded enough to freeze off the carbon dioxide, collect that, and use it in a chemical battery with some of the metals from refinement... plenty of metals will react in the right conditions to make carbonates, or heavens bless, carbides. Some metals can also release hydrogen if they were allowed to oxidize in the slurry... then you just filter out the oxides, send them through the solar plant, recollect your oxygen. You'll have metal oxides, carbonates, probably nitrides and nitrates, ammonia, acetylene can be produced from the carbides, I can't think of anything you wouldn't be able to eventually produce... other than space. Better build it big enough, 'cause you're going no larger... unless you built add-on pressure and habitation pits from *below*. Then the only real issue is enough fluid material for the hydroplugs.