The Lunar Gravitational-wave Antenna (LGWA) is a proposed array of
next-generation inertial sensors to monitor the response of the Moon to
gravitational waves (GWs). Given the size of the Moon and the expected noise
produced by the lunar seismic background, the LGWA would be able to observe GWs
from about 1 mHz to 1 Hz. This would make the LGWA the missing link between
space-borne detectors like LISA with peak sensitivities around a few millihertz
and proposed future terrestrial detectors like Einstein Telescope or Cosmic
Explorer. In this article, we provide a first comprehensive analysis of the
LGWA science case including its multi-messenger aspects and lunar science with
LGWA data. We also describe the scientific analyses of the Moon required to
plan the LGWA mission.