This creates a great looking moon. I suggest you experiment with shading to make it look more 3D and real.
Step 1
Start out by getting a good texture for the planet, I used a concrete texture. Click here to get it. Paste the texture on a new image. Select the elliptical marquee tool, and create a circle selection while holding shift like above.
Step 2
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With the selection, go into the spherize filter, and use the above settings. Press CTRL+F one time. It should look similar to above.
Step 3
Right click your layer (with the selection) and use Layer Via Copy. It should copy your moon to a new layer. Click your origional layer, and fill it with the above settings.
Final Product
I resized and cut, but that's my final product. If you have any questions or comments please post below.