In 2005, the Huygens probe landed on Saturn's moon, Titan. It snapped pictures for an hour before its power ran out. Wired News is reporting that one of the images has been announced as proof that methane exists in liquid form on the moon.
Astronomers have cause to believe that there might be a full environmental cycle of liquids on Titan, similar to what we have on Earth. Except where Earth's cycle involves water, Titan's cycle would involve methane. Methane would evaporate from the surface, form into methane clouds, fall back to land as methane rain, and gather in methane lakes. Titan has observable clouds and lakes, so the question is whether methane mingles between the two.
If so, Titan may be supporting life at the microscopic level. On earth, microbes that live off methane do quite well for themselves. (In fact, we may soon start farming them to help curb our greenhouse gases.) Titan's atmosphere is similar to that of the early Earth's, and if microbes lived here, they could easily have a foothold on Titan as well.
The evidence for liquid methane on Titan is… let's just say "shaky." Spots and splotches appeared on many of the Huygens probe's pictures, and most of them were ruled out as "electronic imprints created by cosmic rays." However, one of the spots were deemed too large to have been caused by cosmic rays. The spots appeared out of nowhere, and vanished shortly thereafter.
Titan's average surface temperature is 94 K (-290 degrees F), so the theory is that the heat from the Huygens probe may have vaporized some methane, which then gathered on its lens as dew. This is an interesting first (first alien dewdrop), but it's hardly evidence that methane usually falls from the sky.
Astronomers pored over the Huygens probe's pictures with interest, but found no evidence for methane rain. The photos show "high, wispy clouds" and a lot of dust in the air. Presumably if rain was common, dust would be cleaned from the air. However, the Huygens probe only took pictures for an hour, and only in one location on Titan. One can't discount the evidence of Arizona, where it's often dusty and rains infrequently.