The Moon is a celestial body that orbits a planet. It reflects light from the sun and so it appears to glow at night.
In Super Mario Land 2: 6 Golden Coins, Mario is wearing a spacesuit when he goes to the moon, although this could be because was already traveling through space, and in Paper Mario: The Thousand-Year Door, Mario's partner Goombella states that there was no air to breathe on the moon, but since they were still alive and breathing, the Crystal Stars are suggested to have the power to supply air. Super Mario World 2: Yoshi's Island, Yoshi's Island: Super Mario Advance 3 and Super Mario Galaxy both involved space-travel in which the characters didn't need spacesuits, but unlike Paper Mario: The Thousand-Year Door, no explanation was given.
Super Mario series
Super Mario World
The Moon's first appearance is in Super Mario World, where it made a very minor cameo in the background of the Star World map. In this cameo, the Moon was anthropomorphic in that it gave a smile and was shown to be in its crescent stage.
Super Mario Land 2: 6 Golden Coins
The moon, also smiling (although its expression could be changed based on completion of a secret level) and in a crescent stage, appeared as a playable area in Super Mario Land 2: 6 Golden Coins, in which it was one half of Space Zone (actually two thirds if one counts the aforementioned secret stage). It was populated by many Bomubomus, and this was the first time any character ever explored it; when on the moon (and anywhere in the Space Zone) Mario was wearing a spacesuit, and the Moon had more gravitational affect on Mario than the star where Tatanga was fought did.
Super Mario Galaxy
Super Mario Galaxy 2
In Super Mario Galaxy 2, six moons are shown. There are two green moons, a brown moon with holes through it, a small white moon, a small green moon and a small dark red moon. A similar body serves as a planet in Boo Moon Galaxy. There are no enemies on it, but if Mario stands on it, it will balance and possibly make Mario fall. Mario must collect the Star Chips on it to progress.
New Super Mario Bros. U
Super Mario's Wacky Worlds
The Super Mario Bros. Super Show!
Mario Kart series
Mario Kart: Super Circuit
Mario Kart Wii
Mario Kart 7
Super Mario World 2: Yoshi's Island
A much smaller Moon also appears in World 5-8 of Super Mario World 2: Yoshi's Island and Yoshi's Island: Super Mario Advance 3; Raphael the Raven was combated on the Moon (Generic Ravens also used Moon-like planetoids as their native turf). Due to the size of this Moon, though, it is assumed that it is different than the more-common one progressed in many screens; this small Moon was given artwork in Tetris Attack (where it never actually appeared in-game) in a panorama featuring Raphael trotting it once more. After Baby Bowser is defeated and returns to his normal size, Kamek takes him and flies to the Moon for some unknown reason. This Moon also resembles a baseball due to its stitches. Super Mario World 2: Yoshi's Island's moon also appears in the background of the Yoshi's Island stage in Super Smash Bros. Brawl.
The Moon next appeared in Yoshi's Story, where it was seen in the background during the fight against Cloudjin. A cardboard moon with two eyes and a nose can also be seen in the background of some stages.
Mario Party series
The Moon appears in many Mario Party games. The minigame Crane Game from Mario Party 2 seems to take place on the actual Moon. Lunar Outpost, a Super Duel Mode arena, takes place on the moon. Twila, a character from Mario Party 6, could be considered the physical manifestation of the Moon.
Paper Mario series
The Moon was supposed to appear in the prototype Forever Forest in Paper Mario in the background, though when Forever Forest was changed to its current appearance, it was removed.
Paper Mario: The Thousand-Year Door
In Paper Mario: The Thousand-Year Door, Mario and co. had to go to the moon in order to obtain the Crystal Star, which was located in the X-Naut Fortress. The X-Naut Fortress itself was located on the Moon, as well. The only way Mario could get to the Moon was to fire himself out of the Giant Cannon in Fahr Outpost. Once landing on the Moon, Goombella will also mention how a Goomba landed on the Moon in '69, which is a reference to the Apollo 11 landing (the first manned landing on the real world's moon) in 1969. The Moon in this game is shown to contain no land features other than craters and rocks.
The Moon is also consistently visible throughout Twilight Town - it is an apparently significant object to the villagers there, who believe it has the power to grant wishes. One of the Twilighters even foreshadows the fact that Princess Peach is being held captive on the moon; if Mario speaks to him after his name and body are stolen, he exclaims that someone living on the moon must have heard his wish to not be turned into a Pig before asking the plumber who he thinks lives there, to which there are two possible answers - 'little green men' or 'Princess Peach'.
The Moon was later given an appearance in Luigi's Mansion, where it appeared in the background of the Observatory. Luigi, in his quest to find Mario's Star and progress in the mansion, ended up blowing the Moon up with a Meteor Ghost shot from his Poltergust 3000, which quite conveniently created a path of debris leading to the Star he was looking for. Very oddly, after this, the Moon could still be seen from the outside rooms and managed to show up in other games. It is therefore likely that Luigi destroyed a fake moon.
Wario Land series
Wario Land 4
In Wario Land 4, the Moon appears on several occasions throughout the level Crescent Moon Village. During the ending credits, Wario has a flashback, where he had a dream that he was sleeping on a crescent Moon.
Wario Land: Shake It!
In Wario Land: Shake It!, the Moon appears only in the background of the night levels in the game.
Donkey Kong series
Donkey Kong 64
The moon appears in the background of the Creepy Castle stage.
Donkey Kong Country Returns
The Moon also appears in each of the possible but similar endings for Donkey Kong Country Returns, depending on the characters remaining. After defeating Tiki Tong, the Kongs are blasted high in the sky and fall down to the moon. If only Donkey Kong defeats Tiki Tong, Donkey Kong uses his fist to punch the moon into the atmosphere and slam the Tiki statue in the Volcano. If Tiki Tong is defeated by Diddy Kong, Diddy attempts to escape the gravitational pull of the Moon to no avail and lands on his head. However, the force of the impact also results in Diddy unintentionally causes the moon to fall and slam into the Tiki statue. If Tiki Tong is defeated while both Kongs are active, Donkey Kong has Diddy Kong speed him toward the moon with his jetpack, accelerating Donkey Kong as he punches the moon, which causes it to fall onto the statue. After the moon crushes the Tiki statue, the volcano erupts the banana hoard, sending the moon back into its original position.
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