yes the "moon illusion" has been argued for a long time as to what the cause is and why it looks much larger at the horizon than directly overhead. As far as I know a definate answer has not been decided on.
here are 2 shots I took back in June 2006 and I stacked one over top of another to show that the camera captures basically the same size object.
both shots were using the Canon 20D, and the sigma 50-500 @ 500mm. one shot was when the moon was fully above the horizon but still very close to it. the second shot was several hours later when the moon was well above the horizon.
edit: now when I took these shots the moon on the horizon did look much larger than it did higher in the sky
James