Paleoselenologists are pretty sure that the Moon formed when a rogue planet about the size of Mars smacked into Earth billions of years ago. New models suggest that the rogue planet was not actually destroyed in the impact, and we don't know where it went. We also don't know where it is now. And it could strike again at any moment. RUN!
The odds of what's left of this rogue planet coming back to finish us off at any given moment aren't bad, but the odds of this happening at one particular moment are very very low, so you probably don't need to worry about it that much. The time to have worried about it would have been 4.5 billion years ago, when the planet sideswiped us, blasting off a huge chunk of Earth-stuff that eventually coalesced into the Moon. It was originally thought that this impact would have blown the rogue planet into pieces that became part of our Moon, but a new model based on measurements of the composition of the Moon suggest that the planet may actually have survived and continued on its way.
There are other implications to this new model as well: the rogue planet would have to have been bigger than we'd originally thought, and it would have had to be moving faster with a steeper impact angle. It also would have transmitted significantly more energy into the Earth, heating up the mantle to 10,000 degrees. It's a lot more extreme of an idea, but it's the only model that accurately explains why the Moon seems to be made entirely of stuff from the Earth and not from any rogue planet material.
We should definitely point out that this model is more, uh, crazy than what the generally accepted scenario suggests, and it's going to take a lot more evidence before it becomes widely accepted. But again, it manages to explain some of the physical characteristics of the Moon in a way that current thinking doesn't, so there's a reasonable chance that this is how the creation of our Moon went down.