Mars. Then I'd start terra-forming and making it habitable. I'd build huge factories/machines to pump out oxygen and carbon dioxide, to create an atmosphere, and once the temperature started rising, I'd try and find a way to make water, and once I've got the water sorted out, and some seas/lakes created, I'd start planting vegetation and farms. Then I'd start some small villages, and build hospitals and universities, as well as a good network of trains across the planet so that people can travel easily.
If you had to visit another planet which one would it be? (same question)