Sun or Moon?

I have taken a few nice digital photos of sunrises and sunsets, but every time I try to photograph the moon, it doesn't turn out. It looks blurry. I don't know what I'm doing wrong, or if it has something to do with the settings on my digital camera, but there are some awesome shots I could have had it they had turned out. The sky is so clear out here with no smog or pollution that the moon and stars look like you could touch them. I'm going to keep trying until I capture the moon in a great photo.