1 Terry: Steve, we can’t build a wildlife preserve on the moon.
2 Terry: There’s no air and almost no water.
3 Steve: We’ll import some! Make a big artificial ocean on the moon!
4 Terry: That’s lunacy!
4 Steve: Lunar sea! Exactly!

I originally wrote Terry's line as "There's no air or water." But I just knew that if I did someone would write in to say that in fact there is water on the moon.

There is a very small percentage of water molecules in the lunar surface rock itself, but more importantly there are significant deposits of water ice in various craters around the lunar north and south poles. In these regions the crater rims provide permanent shadows to some areas within them, so ice present there is never exposed to sunlight that would heat it up and sublimate the water molecules into vapour, which would then escape from the moon's gravitational well. The existence of water ice in these craters was first suggested in 1961 by Caltech researchers Kenneth Watson, Bruce C. Murray, and Harrison Brown, but was only confirmed in 2009 by India's Chandrayaan-1 lunar probe, and subsequent observations by NASA's Lunar Crater Observation and Sensing Satellite and Lunar Reconnaissance Orbiter.

And before anyone else writes in, the moon does have an extremely rarefied trace atmosphere, but it's not oxygen-nitrogen like Earth's atmosphere, and it's not in anything approaching a stable condition. Instead it's an equilibrium state of very slightly elevated gas molecule density compared to the interplanetary medium, produced by continuous outgassing from the lunar rock and bombardment of the surface with micrometeorites, solar wind particles, and sunlight, balanced by continuous leakage to space at the same rate. The main components are argon, helium, and neon, with traces of sodium and potassium.

So while a molecule of oxygen or nitrogen in Earth's atmosphere will stay in the atmosphere for hundreds of millions of years (unless used by an organism or bound into water or rocks by chemical processes, potentially to be released back into the atmosphere later), an atom of argon or helium in the lunar "atmosphere" will likely only be there for a few hours before escaping into space and being replaced by another atom outgassed from the surface. So in some sense, the trace gas surrounding the moon doesn't really qualify as an "atmosphere" in the same way as Earth's does.