Rumor has been strong that Apollo 20 captured a cigar-shaped craft on the moon -
If all this isn't wild enough, consider this theory; "Spaceship Moon Theory" also known as "Vasin-Shcherbakov Theory." This one states that the Earth's moon is actually an alien ship. The concept includes that the moon is a hollowed out "faux" moon. They believed that, looking at the crater shapes proved there was no depth to the moon.
How about a site devoted to aliens on the moon?
An interesting article that talks more about a potential alien base on the moon can be found here.
If one believes in alien visitors, the moon is an obvious base for operations to visit the Earth, go back and rest without being found. The other option is one that I think has a lot of merit (if aliens really visit us) which is to take the air-tight, pressure-controlled ship and dive it into the ocean and hide there handily until it's time to come back out and hover over a backyard in Dayton, Ohio or a park in Birmingham, Alabama.