There are some caves on the moon that provide shielding and, probably, water since they have perpetual shadow inside them. They can be very attractive places to build future colonies.

And if you don't have caves you can just pile dirt on top of your habitats. Dirt is one potential export from a lunar settlement. Everywhere outside the Van Allen Belt needs radiation shielding and dirt doesn't mind being violently accelerated in a mass driver.

Dirt is abundant near every solid surface. Not sure it's a valuable commodity but regolith glass would be more interesting. I'm curious about the metallurgical processes we can do easily on the moon.

Making glass and aluminum should be relatively easy on the surface of the moon.