At the moment a very theoretical avenue, it could nonetheless become real in a few years… or more probably decades. The universe is large, with a wealth of resources and energy… if a bit hostile to life of our kind. The biggest hurdle is to overcome the economic and other costs to enter space.
Lifestyle considerations
Living in space requires permanent protection, and advanced life-support systems.
Risks
It's risky. (…)
Preventive measures/solutions: solid spacefaring technology.
Economy
(…)
Availability
It's all out there, if you can get there and survive.
For now could be an interesting speculation investing into some of the handful of companies or foundations that attempt to get into space.
Legal status
'Space is the "province of all mankind", and is not subject to claims on sovereignty by States.'
The legal status of any theoretical micronation or colony is unclear. There is no legal system of property law, or indeed any law, on the Moon or celestial bodies.
Examples
There exist numerous Space advocacy groups, among them the Moon Society, devoted to establishing a permanent human presence on the Moon. Among other projects is the creation of a private settlement.
See also the Space Frontier Foundation, that promotes the entry into space by private means.
The Lifeboat Foundation is working on Space Habitats, self-sustaining space colonies built to ensure humanity could survive disasters… and perhaps regain some privacy. There are some more useful resources there.
(?more examples and attempts)
