Actually, it's in a much shallower gravity well than Earth is; that plus the airlessness makes it a much better launch platform for interplanetary spacecraft.
For now.
The key multiplier to changing space exploration is making that no longer true. And you could do a lot worse than solid ground, with gravity, near Earth as a first permanent step.
Using a lunar space elevator allows you to cheaply move materials from the moon into space and build huge interplanetary rockets without having to design your rocket around the rocket equation to get out of a gravity well.
In fact, the more I think about this, the more I think a lunar space elevator port is the key to exploring the solar system. You can build massive spaceships and refuel them without ever having to deal with the tyranny of the rocket equation.