Myth

The moon, Earths erstwhile companion through space, is a terrible place to hold a party as it contains no atmosphere. But seriously, the moon has not a shred of atmosphere which explains the lack of rock erosion on its surface and lack of water.

As stated on Wikianswers.

Reality

Actually, contrary to populate opinion, the moon does actually contain an atmosphere. But you’d still not want to hold a part there.

Now the complicated bit. For an atmosphere to exist at a constant temperature the velocity of the atoms must be less than the escape velocity of the body.

Sodium has been detected on the moon as far back as 1933 along with radon and potassium. The Lunar Prospector alpha particle spectrometer also picked up argon, helium (useful for the party balloons at least), oxygen, methane, nitrogen and carbon dioxide.

References

Astronomy Cafe
Space.Com
NASA with the fact sheet here

Tags: moon, atmosphere