Okay, Mars is not a country, it is a planet. Unfortunately we still know very little about our neighbour planet, so this page is all we can do at the moment.
Why this page about caves on Mars? Because those caves are extremely important to future mars missions. The distance to this planet is at the edge of our actual technological possibilities. It is very difficult and expensive to bring enough material to mars to provide a home for half a dozen persons over a half year or longer. A cave as a hiding place would help very much to save resources. It could provide protection from solar radiation and shelter against the weather (low temperatures and storms). And it would allow to build a thin air tight tent supported by the cave walls, instead of a building with stable walls. This would allow to create a suitable atmosphere with appropriate pressure. There could even be some ice inside the caves which could be used for various purposes.
If we do not know much about Mars, how can we tell something about caves on Mars? Mars is from the geological view a terrestrian planet, which means the geology is rather similar to Earth. We know some facts about Mars from different Mars missions by the NASA. So we know two important facts:
The whole theory on caves on Mars is still very theoretic. The only way to prove its correctness would be to go there and find the caves. But they would be such an advantage to a Mars mission that famous NASA scientists work on this topic. See the links below for more information.
The newest discovery in 2007 are numerous holes in the ground located at the slopes of Arsia Mons, the second highest mountain of Mars, near Valles Marineris. There are rows of sinkholes, craters which are aligned, as typical when an underground passage collapses. Different to meteor craters they do not show debris thrown out by the impact. Some are even thought to open into a cave. THEMIS (Mars Odyssey's Thermal Emission Imaging System) images of the Arsia Mons region, at the equator of Mars, show seven holes. They were named Dena, Chloë, Wendy, Annie, Abbey, Nikki and Jeanne. Their diameter is between 100 and 250 meters, and they are at least 80 m deep. A special fact is, that the holes have constant temperature, so they are cool during day and warm during night. That is a typical feature of cave entrances. But after all, the whole interpretation as caves is still not commonly agreed with, and there is a lot of room for other interpretations.