A small celestial body that orbits a larger celestial body, like a planet. A moon is also called a natural satellite. Earth only has one moon, and from what we have seen so far, Equestria is much the same.
Princess Luna controls the Moon, raising it during the evening to bring forth the night. Princess Celestia used the Elements of Harmony to banish Nightmare Moon inside the moon, where she was locked away for 1000 years.