"Now: it was quite difficult for Dave and Jim to dig a hole in the Moon! Nobody's been very deep and I wonder how a hole big enough for a shelter can be made. "

"The new EGBU-28 (the “E” being for enhanced) replaces the GBU-37. This latest version of the “bunker buster” uses the Global Positioning System for guidance so that it can be dropped with accuracy at higher altitudes in foul weather. The amount of rock and concrete that the EGBU-28 can penetrate is classified, but Major Dick Wright, who was the weapon’s test manager in 1991, said that the older version “went though 20 feet of concrete like butter” and when dropped onto hard ground, penetrated down to 100 feet. "
http://www.globalsecurity.org/military/systems/munitions/gbu-28e.htm

If you want a bigger hole you try a nuke bunker buster. Or you can just use the holes made by impactors- it wouldn't be as fun though.