Well I'll be dipped...

http://www.time.com/time/health/article/0,8599,1120755,00.html

"Never mind the moon’s utter lack of atmosphere, there’s plenty of air to breathe up there—provided you know where to look. With NASA once again planning human moon exploration, that’s become an increasingly important matter. This week, the Hubble Space Telescope may have provided some critical answers.

It is the moon’s small mass and low gravity that prevents it from keeping hold of even a tenuously thin atmosphere. But oxygen needn’t exist only in gaseous form above the ground. It can also be entrained safely in certain kinds of rocks. Gather the rubble and either treat it with chemicals or blast it with heat, and you can free up unlimited quantities of oxygen both for breathing and for rocket fuel."

Ben