Are any moons composed of gas? Or only rocky materials?
Moons in our Solar System are made up of rock, ice, or a combination of the two. None is heavy enough to pull in a large envelope of gas, but Saturn's moon Titan does have a thick atmosphere.
Our Moon is fairly exceptional in not having a thick outer layer of ice. Among large moons only Jupiter's moon Io matches that. Most large moons have a thick outer layer of ice, which is mostly water ice, on top of a rocky body. In several cases, including Jupiter's moon Europa and Saturn's moon Enceladus, there is strong evidence that a watery liquid ocean lies beneath the ice -- and it may host life.