I'd suggested water as the shielding material in the Mars colony discussion following the Oddesy results. It's a great idea as it provides good rad shielding.

HOWEVER, where on the moon do you REALLY get water? Water in sufficient quantaties that it can be taken from life support needs or from rocket fuel needs. I don't think that anybody claims that we really know yet that there is lots of easily extractable water at the poles. That possible water may be sprayed throughout the regolith too dispersed to be readily extractable. So saying water is a readily available in-situ resource on the moon is most probably not correct, and there's not that much of it that its use wouldn't be carefully allocated.