Obviously not where there's water ice. ('doh, Antidoh!) Click on the picture on this page to look at the configuration of the shadowed craters at the poles. (Yellow indicates a permanently shadowed region, also where water was found.)
Why do you say that? Being so close to the Sun and without the protection of a magnetosphere you'd be pummeled by high energy radiation from solar flares (deeply penetrating protons, mostly). Because of the nature of the solar wind, you couldn't just rely on being in the shade to protect you.
Radiation is proportionally more intense at Mercury so you'd need thicker cover and you'd probably want to spend less time outside. Also, just getting there would be kind of a problem, radiation protection wise. Probably easier than trying to set up a base on a Galilean moon though.
Obviously not where there's water ice. ('doh, Antidoh!) Click on the picture on this page to look at the configuration of the shadowed craters at the poles. (Yellow indicates a permanently shadowed region, also where water was found.)
http://www.space.com/18687-water-ice-mercury-messager-discov...
In 2312, Kim Stanley Robinson describes Mercury settlements slowly rolling along huge crawlers.
http://amzn.com/0316098124
But with the permanently shadowed craters, you wouldn't need them.