The Lunar Wing is a key item introduced in Generation IV. In Diamond, Pearl, and Platinum, you need the Lunar Wing from Fullmoon Island to heal a boy in Canalave City. Once you get it from Cresselia, Cresselia flees and is found at random throughout Sinnoh.
It is also found in Generation V in Black and White 2. It is claimed as a Key Item after figuring out the mazes of the Strange House outside of Lentimas Town. Bring it to the man who sees a ghost girl at Marvelous Bridge.
The Lunar Wing are feathers of Cresselia. These feathers help keep the nightmares (that Darkrai creates) away from residents of Canalave City. A Lunar Wing looks like a feather that has a curl with an enchanted green (top-half of the feather). It has a yellowish end.