When building a shelter on Mars, the best way is going to be using materials that can be found on location [cnet.com]. This is because building materials would vastly increase the payload the rocket would need to carry and the cost of getting it to Mars.
For NASA's 3D-printed Mars habitat challenge [cnet.com], contestants came up with hypothetical solutions. But a team led by associate professor Gianluca Cusatis at Northwestern University's McCormick School of Engineering decided to come up with something a little more practical. They actually experimented and created a type of concrete made from Martian materials.
Like Earth concrete, the Martian version is made from a gravel aggregate and a binding agent. However, rather than the gravel, cement and water used on Earth, the team used Martian soil as simulated by NASA as an aggregate, and molten sulphur, which exists in abundance on Mars [geoscienceworld.org], as a binding agent.
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Sulphur concrete has some significant advantages. It only takes 2 to 3 hours to fully set, unlike Earth concrete, which takes 28 hours, which means it could work very well with construction-sized 3D printers. It's also highly corrosion-resistant, and the material developed by Cusastis' team was more than twice as strong as typical sulphur concretes, which the team attributed to the fine particles of the Martian soil. When adjusted for Martian gravity, it would be as strong as concrete used for Earth skyscrapers.