I've been hoping for some sort of doorway to alternate planes. The moons could be one of them.
*groan*
(That was the groan of knowing how much I would hate myself for still playing Dwarf Fortress if such a feature was implemented.
Actually, alternate dimensions were planned as a feature for Dwarf Fortress from way back... I recall one of the devpages mentioning it. Or maybe it was something Toady said in one of the really early threads... I have no idea if it's still going to be done, but it's something that's actually comparatively easy to do (compared to, say, time travel, at least) and which can have really awesome-looking effects, not to mention strange emergent applications. If you've played
Master of Magic you'll have a sense of what I'm talking about. I also recall Banishment to the Abyss as one of the coolest features of Dungeon Crawl the first time you encounter it -- there's just sort of a 'ZOMG' factor to discovering that there's an entire other dimension that you can just access at any time with the right stuff.
(We almost have that already, with HFS-land. I'm certain that one feature of magic will be a spell that can open portals to HFS-land or teleport you there.)
With that said, the game's metaphysics are not always clear. We don't know what the moon(s) in DF are, how large they are, etc. They might just be a big flower or a fruit or a wolf or something that someone put in the sky.