Concrete
Concrete is a well known material for building houses and infrastructure elements. It has excellent characteristics for protection against radiation and small meteorites. Possibly, concrete can be made in situ on Mars, using local resources.
Hydraulic cement
Unlike on Earth's Moon there seems to be plenty of water on Mars, but hydraulic cement also requires calcium, silicon and aluminium. It is unclear whether these substances can be found on Mars in a form that allows a simple processing.
Waterless concrete
There are ideas of making waterless concrete from sulfur and regolith. It is unclear whether sulfur can be found on Mars in a form that allows a simple processing.
Reinforcement
The stability of concrete can be increased significantly by tension glass fibers or reinforcing steel.