I made a simple image in Photoshop (1) and displaced a subdivided box with it (2). It didn't turned out as planed, but by Subdividing with Smooth and fractals (3) as distortion it gave me new ideas.

I then extruded some random clusters of polys inwards and aligned them to look like man made caves.

On the cave ground, I Beveled some random but aligned buildings. They where only supposed to be a small detail in the final image, so I didn't put very much time into them.

For background I decided to have a planet and a mountain range. The planet is a just two simple tesselated high poly balls (one for the surface and one for the atmosphere, clouds).

The mountain range was created by jittering a 14x4 poly flat box (1) along the Y-axis. I then mirrored and duplicated it, to bend it along a possible 180 degree viewing range (2). To make it smooth I subdivided it with fractals (3) several times.

I then added all into a scene and set it all up. The sun comes from behind, and is the only lightsource (due to the later use of global illumination). The light all but the background (planet and stars).
(the green camera is a test rendering camera, not used in the final render)

I use adaptive sampling with low threshold to be able to reduce the Antialiasing (PL7=half). I set the global illumination (Final Gather) to be affected by the ambience in the scene (for example the buildings windows and the lava like veins).

Texturing then..

The background mountain range (1) has a tweaked built in preset texture called Lava Rock. It contains a combination of different procedurals, such as "veins" on the Luminosity, to create the effect.

The exo planets surface (2) is my own combination of crumple procedurals for bump. I then used a gradient to color it depending on the amount of bump. I also added some fractals to add variation.

The caves was supposed to look man made and square. Like it's filled with some sort of concrete. The buildings use the same texture, except it has a luminosity procedural (veins) to make some weird windows.

The stars (4) are 18000 random simple points, converted to polys with different surfaces to make random appearance.

I think that was all..