Why does the moon sometimes go yellow?

This effect is caused by the atmosphere of the earth. The reason for the orange colour is due to the scattering of light by the atmosphere. When the moon is near the horizon, the moonlight must pass through much more atmosphere than when the moon is directly overhead. By the time the moonlight reaches your eyes, the blue, green, and purple pieces of visible light have been scattered away by air molecules. That's why you only see yellow, orange, or red.

When the moon rises higher, it appears its usual grey.