The Moon has always been thought to lack an atmosphere, but the most recent scientific understanding is that the Moon really does have a thin atmosphere known as an exosphere. It may not be as robust and life-supporting as the Earth's glorious atmosphere is, but can we change that?
Clearly, putting mankind on another special body besides the Earth is a huge goal of NASA's, as well as various other commercial space companies and agencies. On the other hand, there is a challenge with the conditions at some of these places. The atmosphere makes up just one of those challenges.
Could we ever change that? Essentially terraforming the Moon to better suit our needs? The answer is hard to explain. Yes, it could be done, but not with today's modern technology and certainly not in a sustainable way.
The conditions on the Moon simply aren't as robust as they are here on Earth, so we'll have to work around that by creating modules for astronauts to live in and controlling limited areas for livable circumstances.