An atmosphere can be generated from what's there at the moon with the appropriate equipment.
It's also far quicker to get to the moon than Mars.
Mars doesn't have a breathable atmosphere either, although given enough time it could be terraformed. Mars is 95% CO2, 3% Nitrogen, 2% Argon + traces of Oxygen, Carbon Monoxide and water.
Humans need it to be about (we can tolerate slight variations) 78% Nitrogen, 21% Oxygen, 1% Argon and traces of others.