Hell, we can't even go everywhere on Earth. Try climbing a large mountain without an oxygen supply. For reference, the U.S. Dept. of Labor's OSHA defines 19.5 percent oxygen content as the minimum safe concentration for humans. So, beyond the very unlikely event that your alien planet has a size and atmosphere practically identical to Earth, you're going to spend your whole holiday in a space suit or tightly controlled habitat.
That definitely applies to Mars, which has a pressure less than 1 percent of that on Earth and an atmosphere that is 95 percent carbon dioxide. While your eyes probably won't go all Rodney Dangerfield and explode like in Total Recall, you're never going to be able to flounce around in a loincloth like in John Carter.
Walt Disney Pictures
And if you can't wear a loincloth on Mars, really, what's the point?
Of course, in Firefly they explain this away by mentioning that all these planets have been terraformed to harbor an Earth-like atmosphere. But that's probably not a likely solution either -- the kind of atmosphere a planet can support is dictated by many factors. In the case of Mars, you could pump all the oxygen you wanted into its atmosphere, but its gravity is so weak that oxygen will just float away into space.
Those are just a few of the factors that make alien colonies more difficult than the movies portray. The most recent example, The Martian, pulled no punches in showing what an absolute b***h of a time you would have trying to live on Mars. But even the author of the novel admitted that he had to ignore a few scientific facts to make it work -- namely, the fact that radiation is so high on Mars that Matt Damon would be dead from cancer in a matter of months. We assume that ending wouldn't have tested as positively in early screenings.
20th Century Fox
No audience wants to see Matt Damon jimmy-rigging chemo drugs from his own poop.