About six years ago professor Larry Taylor, director of the Planetary Geosciences Institute at the University of Tennessee, was studying a moon dust sample and he discovered that it's magnetic.
"I didn't appreciate what I had discovered," recalls Taylor, "until I was explaining it to Apollo 17 astronaut Jack Schmitt one day in my office, and he said, 'Gads, just think what we could have done with a brush with a magnet attached!'"
"Only the finest grains (< 20 microns) respond completely to the magnet," notes Taylor, but that's okay because the finest dust was often the most troublesome. Fine grains were more likely to penetrate seals at the joints of spacesuits and around the lids of "pristine" sample containers. And when astronauts tramped into the Lunar Module wearing their dusty boots, the finest grains billowed into the air where they could be inhaled. This gave at least one astronaut (Schmitt) a case of "moondust hay fever."
More details over at NASA, the article also explains who moon dust is magnetic while dust on Earth isn't.