Go outside, look up at night, wait long enough, and zip! You'll see a tiny bit of rock burn up in our atmosphere: a meteor.
But other objects get hit too, including the Moon. It happens more rarely; the Moon presents a smaller cross-section to get hit, and its gravity is lower so it cannot draw in material as well as Earth. But hit it does get, and if you watch long enough you'll see one.
Amateur astronomer George Varros did just that on March 13, and better yet, he had a video camera hooked up to his telescope! He captured an impact, and has an animation on his site of it; the image above is a still from it.
These are notoriously hard to get on video, and even then they are harder to confirm; it might be something else like a flaw in the camera. But in this case, other cameras caught it, so this has been confirmed; it was the equivalent of about 100 kilograms of TNT exploding on the lunar surface. Assuming an impact speed of 30 km/sec (that's a complete guess, but about the speed of an orbiting object near the Earth's distance from the Sun) the object itself would have massed about aton kilogram. If it were a rocky sphere it would have been about a meter across 10 centimeters across, roughly the size of a baseball. Not something you want hitting your house!
Varros has a page listing other impacts he's caught as well. Very cool, and very useful! Eventually, when we go back to the Moon, the number and size of impacts on the surface will determine how we build structures on -- or below -- the lunar surface.