It's all about nuclear fusion.
http://en.wikipedia.org/wiki/Helium-3
(see opening paragraph)
Fusion is the hot thing (pun not intended), that's been talked about lots for decades. It's far better than fission (what nuclear power stations do now), but the materials commonly used to achieve fusion causes damage to the machine inside, meaning it has to be replaced every so often (and far too often for proper industrial use). It's been found that 3He is a good substitute that allows the walls of the machine to last longer, and hence why it's wanted (fusion is one of these cure-all energy problems solutions).
3He isn't a natural isotope, and is very (very) expensive to produce. Quite a bit of research goes into using it at ultra low temperatures, but apart from that I'm not really sure. It can be produced for this purpose, so in theory I guess that it could be used for fusion too (though I know nothing about this), but perhaps the moon solution is cheaper (hard to imagine, but I think 1ltr of 3He costs in the region of �10,000)?