Artists impression of the impact which formed our moon
There are many theories out there as to how Earth's moon formed. Some think the moon formed right with the earth out of the circumstellar disk of material around our young sun, others think that it is a captured object that got caught up in Earth's gravity and became our moon. The leading theory is that a Mars sized object crashed into Earth during the Late Heavy Bombardment, and broke off a chunk of earth that formed into the moon. But why do we think this is the case? Well first of all, measurements of the amount of Tungsten-182 (decay product of Halfnium-182) in returned moon rocks suggest that the moon appears to be ~100 million years younger than the Earth. I know that sounds like a long time, but it's really fairly short, considering the Earth is 4.6 billion years old. The age of the moon suggests that after the Earth was hit, the moon formed in a short period of time, but it took an extra 100Myrs for Earth to recuperate and reform back into a spherical planet. So this rules out the "same time formation" theory (the moon is younger). So what about the "captured rock" theory? Well, based on analysis of moon rocks and the lunar composition via satellite missions to the moon, we know that the moon is made almost solely of molecules that consist of oxygen (silica, alumina, iron oxide, sodium oxide, etc.). Measurements of the oxygen isotope ratios in rocks tell us that this ratio is almost exactly the same as that on Earth. It's very unlikely that a random captured rock would have exactly the same oxygen isotope ratios as we do on Earth, so the moon probably formed from a piece of the Earth!