I'd love to be able to build something either in orbit of some godforsaken backwater planet in deep space, on asteroid, or planetary surface. Even if it's just a simple landing pad with one tiny building to take a nap in it or something. I don't understand how this could break anyone's immersion, it's a huge galaxy after all - chances are that none of you would ever stumble upon it, unless I give you exact location.
I still remember the time when I disbanded my EVE corp and decided to build my own little starbase in wormhole system. I did it all alone. That was an epic adventure.