To see this in action, I really recommend the movie Moon, it's awesome - they're even mining Helium-3 in that movie!
We might be interested in other planets for these mining operations as well, but it would be pretty tough on Venus - check out this rundown of the brief moments that we've had rovers land on Venus (they promptly burned up and failed, which we knew would happen).
Mercury probably wouldn't be of interest to us - it's got major first world problems.
If it's water that we want in space (and it probably is, carrying water up to the space station takes a LOT of energy), then Europa is probably the place to be. Check out this gif of how much water Europa has compared to Earth:
