Local aluminum will be cheaper, and stonkin' high voltage will be needed to combat the ohmic losses. The 'atmosphere' on the moon is rather extremely dry, so corona losses shouldn't be an issue, you could probably run north of a megavolt w/o too much trouble.

Now, you could lay both conductors in parallel and only need to build the power line half-way around the moon, probably save some dough on prospecting for and constructing pylon sites that way. Alternatively, you could run a single conductor all the way around. Doing that, you could establish a lunar scale magnetic field, though it'd probably be pretty wimpy unless you ran serious kA (MA?) of current, which would mean much bigger conductors etc, but it's fun to think about. Heck, with a loop that big, you'd probably get significant induction from the solar magnetic field .. which might be something to harness, or might just be a headache for your line operators.