Space scientists have been intrigued for years with the possibility of finding usable oxygen on the moon — not in the lunar atmosphere, since there essentially is none, but in the rocks. As long ago as 1962 … [NASA researchers] predicted vast lunar processing plants turning out 4,000 pounds of liquid oxygen per month, both for breathing and as an oxidizer for rocket fuel…. Now the Surveyor 5 spacecraft … reveals it is standing directly over just the kind of rock that would do the job. — Science News, October 14, 1967
Update
The moon is not yet dotted with lunar oxygen factories, but scientists are still devising ways to pull oxygen from moon rocks. One technique, proposed by NASA scientists in 2010, isolates oxygen by heating lunar rocks to over 1650° Celsius and exposing them to methane. Chemical reactions would produce carbon monoxide and hydrogen, which then react to create water. Passing an electric current through the water would separate oxygen from hydrogen, allowing the desired gas to be captured.