HI 
Recently I decided to make mega base on Lunar Island, wanted to test how good is that + I didnt seen anyone else doing that.
Lunar Island is like a paradise island, no nightmares, no deerclops and no bearger can spawn while you are on island, thats the best thing about basing there.
Only thing you need to worry about is hounds and antlion at summer.
Two things I noticed on Lunar Island, that you actualy can summon Reanimitated Skeleton and activate shadow bosses at new moon. Its probably intended, but I think you should be not able to summon them on Lunar Island, because nightmares cant step on there and they both are nightmare/demon type creatures