Many studies exist on magmatic volatiles (H, C, N, F, S, Cl) in and on the Moon, within the last several years, that have cast into question the post-Apollo view of lunar formation, the distribution and sources of volatiles in the Earth-Moon system, and the thermal and magmatic evolution of the Moon. However, these recent observations are not the first data on lunar volatiles. When Apollo samples were first returned, substantial efforts were made to understand volatile elements, and a wealth of data regarding volatile elements exists in this older literature. In this review paper, we approach volatiles in and on the Moon using new and old data derived from lunar samples and remote sensing. From combining these data sets, we identified many points of convergence, although numerous questions remain unanswered. The abundances of volatiles in the bulk silicate Moon (BSM), lunar mantle, and urKREEP [last ~1% of the lunar magma ocean (LMO)] were estimated and placed within the context of the LMO model. The lunar mantle is likely heterogeneous with respect to volatiles, and the relative abundances of F, Cl, and H2O in the lunar mantle (H2O > F >> Cl) do not directly reflect those of BSM or urKREEP (Cl > H2O ≈ F). In fact, the abundances of volatiles in the cumulate lunar mantle were likely controlled by partitioning of volatiles between LMO liquid and nominally anhydrous minerals instead of residual liquid trapped in the cumulate pile. An internally consistent model for lunar volatiles in BSM should reproduce the absolute and relative abundances of volatiles in urKREEP, the anorthositic primary crust, and the lunar mantle within the context of processes that occurred during the thermal and magmatic evolution of the Moon. Using this mass-balance constraint, we conducted LMO crystallization calculations with a specific focus on the distributions and abundances of F, Cl, and H2O to determine whether or not estimates of F, Cl, and H2O in urKREEP are consistent with those of the lunar mantle, estimated independently from the analysis of volatiles in mare volcanic materials. Our estimate of volatiles in the bulk lunar mantle are 0.54–4.5 ppm F, 0.15–5.3 ppm H2O, 0.26–2.9 ppm Cl, 0.014–0.57 ppm C, and 78.9 ppm S. Our estimates of H2O are depleted compared to independent estimates of H2O in the lunar mantle, which are largely biased toward the “wettest” samples. Although the lunar mantle is depleted in volatiles relative to Earth, unlike the Earth, the mantle is not the primary host for volatiles. The primary host of the Moon’s incompatible lithophile volatiles (F, Cl, H2O) is urKREEP, which we estimate to have 660 ppm F, 300–1250 ppm H2O, and 1100–1350 ppm Cl. This urKREEP composition implies a BSM with 7.1 ppm F, 3–13 ppm H2O, and 11–14 ppm Cl. An upper bound on the abundances of F, Cl, and H2O in urKREEP and the BSM, based on F abundances in CI carbonaceous chondrites, are reported to be 5500 ppm F, 0.26–1.09 wt% H2O, and 0.98–1.2 wt% Cl and 60 ppm F, 27–114 ppm H2O, and 100–123 ppm Cl, respectively. The role of volatiles in many lunar geologic processes was also determined and discussed. Specifically, analyses of volatiles from lunar glass beads as well as the phase assemblages present in coatings on those beads were used to infer that H2 is likely the primary vapor component responsible for propelling the fire-fountain eruptions that produced the pyroclastic glass beads (as opposed to CO). The textural occurrences of some volatile-bearing minerals are used to identify hydrothermal alteration, which is manifested by sulfide veining and sulfide-replacement textures in silicates. Metasomatic alteration in lunar systems differs substantially from terrestrial alteration due to differences in oxygen fugacity between the two bodies that result in H2O as the primary solvent for alteration fluids on Earth and H2 as the primary solvent for alteration fluids on the Moon (and other reduced planetary bodies). Additionally, volatile abundances in volatile-bearing materials are combined with isotopic data to determine possible secondary processes that have affected the primary magmatic volatile signatures of lunar rocks including degassing, assimilation, and terrestrial contamination; however, these processes prove difficult to untangle within individual data sets. Data from remote sensing and lunar soils are combined to understand the distribution, origin, and abundances of volatiles on the lunar surface, which can be explained largely by solar wind implantation and spallogenic processes, although some of the volatiles in the soils may also be either indigenous to the Moon or terrestrial contamination. We have also provided a complete inventory of volatile-bearing mineral phases indigenous to lunar samples and discuss some of the “unconfirmed” volatile-bearing minerals that have been reported. Finally, a compilation of unanswered questions and future avenues of research on the topic of lunar volatiles are presented, along with a critical analysis of approaches for answering these questions.