Aside from some floating dust, our Moon has absolutely no atmosphere to speak of. New research suggests this wasn’t always the case, and that long ago, an atmosphere briefly popped into existence as a result of intense volcanic activity.
Billions of years ago, Mercury was choked in unimaginable amounts of lava. About six percent of the entire planet was covered in the lava of a single volcanic maelstrom. Not bad considering we weren't even sure Mercury had volcanoes.