According to NASA astronaut Gene Cernan, moon dust smells like gunpowder. No human has ever been on the moon without life support, and no one has taken a deep breath of pure, unfiltered moon air. However, Apollo 17 astronauts did perform some sniff tests with a moon dust sample they collected during their mission.
Though multiple astronauts have reported moon dust smelling like gunpowder, by the time samples make it back to earth, they have changed enough that they no longer smell. This may be for the best, since at least one astronaut reported having an allergic reaction to the moon dust he inhaled.