re: aside from cosmic rays?
One assumes shelter provisions would be part of any serious station program. It's one of the things that makes the moons of Mars appealing--being able to use dirt shielding for that purpose.
Doing any kind of digging or construction work on a body with very low gravity would be an interesting proposition. You'd need workers with a very relaxed attitude--just dropping one loader full of dirt on a pile would take a few minutes to complete.