The Moon is the only natural satellite to orbit Planet Mobius. It presumably orbits the planet and can be seen at night thanks to reflected light from the Sun. Other moons also orbit Planet Earth and various planets in the Special Zone.
Mobius
This giant ball of rock has appeared in Sonic the Comic several times, often being a minor plot point. It was first deemed to be important in "The Revenge of Trogg"; Trogg wished to turn the Enchanter Kings into monsters like himself, but needed the power of The Dark One to achieve this. To summon him, Trogg focused the light of the moon on the Dark Orb with a powerful lens until the Dark One emerged.
On Mobius itself, a member of the Emerald Hill folk (possibly Johnny Lightfoot) believed that the moon was causing a solar eclipse over the Emerald Hill Zone and urged his friends not to worry. His words were forgotten when red lights appeared from the underside of the Death Egg and attacked them. Later, Doctor Ivo Robotnik hired Mesmer and hypnotised the entire population of a village. With them under his spell, the goat was able to convince them all that they believed in a mythical Moon Goddess and that they should sacrifice somebody to appease her. This target later turned out to be Knuckles the Echidna.
The moon finally became a real plot point in the Super Sonic story, Return of the Nightmare. Having finally unlocked his deadly power once again, Super Sonic considered different ways of destroying Mobius. He initially contemplated destroying the ozone layer and letting the people die of global warning but quickly decided that that was too slow. Upon sighting Mobius' moon, he eagerly pulled it out of orbit and sent it plummeting down to the planet. Two people on the "far side of the planet" noticed the catastrophe but were unable to stop the destruction of Mobius. Fortunately, this was all an illusion in Super's mind whilst under the effects of the Globe of Enrokk.
Earth
Planet Earth's Moon has also featured on a number of occasions, particularly in the Decap Attack series. In The Bride of Chuck D. Head, Chuck D. Head decided to take new friend Daphne to the roof of Castle Frank N. Stein. In love, he gushed about how beautiful the mountains looked in the moonlight. Unfortunately, Daphne had been made with a werewolf brain and promptly turned into a beast upon seeing the moon.
Later, for a New Year's Eve, Chuck and Head dressed up as Apollo 11. For their party piece, Chuck planned to throw Head to emulate the moon landing. However, Head was sent flying out of the castle's window and screamed rather than say "the eagle has landed".
Other
The "weird bit" of the Special Zone is said to contains suns, moons, planets "and everything" according to Charmy Bee, something that shocked Sonic the Hedgehog. Elsewhere, the Hundred & Spindle organisation routinely repossess moons and planets when mortgage payments are late. Many of these were sent to the void where the Special Zone once stood when Mr Spindle attempted to take control of the Floating Island.