I have divided planets and satellites into too easy, too hard, and feasibly nasty.
Gas giants - too hard: Jupiter, Saturn, Uranus, Neptune - implausible that any realistic base could be situated on the planetary surface due to enormous pressures involved. So the base would have to float or fly. That also seems implausible for unassisted habitation as, although it might be possible to power the habitation there would be little/no access to raw materials for repair/maintenance/growth.
Venus - too hard: Implausible on the surface due to temperature - no realistic way to cool the base that is consistent with the laws of thermodynamics. For a floating/flying base the problems are similar to those on the gas giants.
Rocky planets and satellites in general - too easy: Generally plausible if you can survive in an atmosphere dome (or underground), extract water from the local crust, use solar radiation for energy etc. 778
So the Moon, Mars, larger asteroids, and many moons might not be a sufficient challenge. Mercury fits into that category too, so long as you situate your base is near a pole where the temperature range won't be too outlandish (although I am not sure of the presence of water in Mercury's crust).
Icy and cold planets/satellites - too easy: Also generally plausible as above. A bit more effort to get sufficient energy from solar if the body is far from the sun (Pluto etc.), but that is more an issue of cost in setting up systems rather than additional risk/difficulty in operation.
Titan - much too easy - lots of petrochemicals for raw materials.
So my choice would be:
Io - the most volcanically active body in the solar system. It has all the usual challenges of living on a body in near vacuum but adds the complication of an unstable crust and the chance that at any time the base could be subjected to mega-earthquakes, pyroclastic flows, lava flows, flying ejecta (volcanic 'fallout' can extend hundreds of km on Io) and the chance that a new volcano could errupt near/under the base at any time.
With regard to a power supply for a base on Io - I think that a geothermal power station would add just the right combination of technical feasibility and operational hazard. 778