Moon dust isn't the same as Earth dust. It's sharp.

One oft-overlooked aspect about the Moon is that its dust is really sharp. Since the Moon has pretty much no atmosphere the dust sits completely still, and doesn't bump up against other particles, thus remaining sharp. On Earth and other planets with real atmospheres the dust bumps up against other dust particles and everything else as it moves about, and becomes something akin to glass you find on the beach - once sharp, now perfectly safe to touch.

Spaceref.com had a bit on Moon dust today; here it is.

According to the article:

Even though there were no known illnesses due to exposure, lunar dust is a concern because it has properties comparable to that of fresh-fractured quartz, a highly toxic substance. However, the Apollo flights lasted only a few days. During the proposed return to the moon, astronauts will be exposed to lunar dust for longer periods of time, including missions that could last months.

Due to the moon's reduced gravity and the size of its dust particles, the respiratory system's process to remove unwanted matter may not work as efficiently as it does on Earth. "In the moon's fractional gravity, particles remain suspended in the airways rather than settling out, increasing the chances of distribution deep in the lung, with the possible consequence that the particles will remain there for a long period of time," Prisk said.

The lungs are a highly sensitive organ because of the large surface area that delivers oxygen molecules through a thin membrane directly to the blood. The health risk to astronauts increases as dust particles go deeper into the lungs.

I've actually always wondered exactly how much atmosphere a body needs to create an environment in which the soil could move about a bit, reducing the threat from sharp dust all over the surface. There are other benefits to having an atmosphere besides just being able to breathe. Another benefit of course is not getting hit by tiny micrometeorites, ones that are only a few mm or cm in diameter, impossible to detect but still possibly deadly. It's for these reasons that I think we'd be well off creating just a tiny bit of atmosphere on the Moon. Too much atmosphere and mass drivers wouldn't work, so I think I'll start a thread on the subject to ask those more well-versed in the subject exactly how much atmosphere would be good to have.