It would be very hard to terraform Mercury which makes it a bad candidate for the long run. It would be very hard, but Mars would be the best planet to terraform: http://en.wikipedia.org/wiki/Terraforming_of_Mars
I don't think terraforming is necessarily the best way to prioritize initial colonization. Access to food, energy, and other resources are what should be initially prioritized. This still means that Mars is an excellent candidate for colonization, because of proximity to the asteroids.
I don't think so. Technically the plan outlined there is feasible, but the problem is getting there.
Flying that close to the sun would multiply the radiation problem considerably. Then you'd have to land and drill underground and build enough to get a foothold before you died.
Finally, there's the fact that you'd have to live underground. You could never really live on the surface.
For Venus, yes, you could float around in the atmosphere, but where would you get raw materials? The surface is too hostile to mine.
http://en.wikipedia.org/wiki/Colonization_of_Mercury