Behrokh Khoshnevis of the University of California developed his Contour Crafting system of 3D printing of buildings for terrestrial purposes. It is a clever system that builds up buildings in layers much like conventional 3D additive printing but at a monster scale. We quoted him in 2007 saying "Your shoes, clothes and car are already made automatically, but your house is built by hand and it doesn't make sense." And that is on Planet Earth; imagine if you are talking about the Moon.
Dr. Khoshnevis and his team have been thinking about this for a while; in 2005 they presented an earlier version to a conference. Like its earthbound counterparts, it involved constructing a gantry that moved in the x-y axis, building up layers in the z axis. That means that the whole mechanism has to be moved for each building, which might be tough on the moon.
But you don't have to do that anymore; computers and technology have improved enough that one can envision a mobile robot that just squirts out the concrete where you need it; It is smart enough to figure out where its nozzle is in all three axes. The concrete would be locally made, using sulfur instead of Portland Cement; from the 2005 paper:
Experiments carried out on lunar soil samples returned by Apollo missions revealed that sulfur could be extracted from lunar soil by heating it at moderate temperature (of the order of 1000-1200 degrees C), which can be achieved with standard solar concentrators on the Moon.... Sulfur may offer an alternative to Portland cement as a binder in making concrete for use in lunar construction.
The machines can build lunar highways as well as buildings.
When you look at what Markus Kayser did with his Solar Sinter Project, 3D printing with sunshine and local sand, you realize that this isn't so far-fetched at all. Download the NASA presentation here; found on The Next Big Future