The poles of Mercury and the Moon are excellent candidates for the search for water-ice deposits. Both bodies have permanently shadowed regions (PSRs) that are capable of hosting ice. PSRs are unique environments in which cryogenic temperatures can trap solar system volatiles that record evidence of planetary evolution. These cold traps are thermally stable environments for ice deposits on geologic timescales due to the small axial tilt of each body. Earth-based radar measurements showing high circular polarization ratios are consistent with the presence of water ice at both poles of Mercury; however, a better understanding of surface roughness is required for interpreting the orbital and bi-static measurements indicating water ice on the Moon. Spectrometer data from orbit indicate broad spatial suppression of epithermal and fast neutron fluxes near the north pole of Mercury, consistent with the presence of water ice in the PSRs. Neutron measurements of the Moon also show hydrogen enhancements at both poles. Reflectance measurements of Mercury reveal that most PSRs are anomalously dark, consistent with the presence of lag deposits of carbon-rich volatiles that insulate water-ice deposits. Reflectance measurements of the Moon indicate larger porosities and higher albedos within PSRs, and the low temperature of these polar regions is consistent with the presence of water frost. In-situ measurements indicate that multiple volatile species are present at the lunar poles, including H2O, H2, OH, and CO. Overall, the Moon shows evidence for water-ice deposits, but to smaller extents, both in areal distribution and abundance, than Mercury. Understanding why these differences exist has major implications for understanding the source, history, and evolution of volatiles throughout the Solar System. Here we discuss four possible reasons why polar water-ice deposits on Mercury may be much purer and more extensive than those on the Moon. (1) Timing: One possibility to explain the difference in abundance between polar volatile inventories on Mercury and the Moon is the timing of the delivery of the volatiles. For example, if the water ice on Mercury was delivered recently, then this may explain the wider distribution of these deposits, as well as the greater abundance, purity, and thickness. In addition, this may explain why the lag deposits that are observed insulating the majority of water-ice deposits on Mercury appear relatively fresh with well-maintained boundaries, even at pixel resolution spatial scales of < 50 m. (2) Impactor population: Alternatively, the differences in polar deposits may reflect a difference in impactor population. It is possible that Mercury has been subjected to more volatile-rich impactors than the Moon. (3) Internal composition: A third possibility is that the polar volatile inventories reflect a difference in the composition of the bodies. Volcanic outgassing may have contributed substantially to the abundance of these volatiles, but the volcanic histories between these bodies has varied over time. (4) Polar wander: The distribution of hydrogen on the Moon may reflect a shift in the spin axis of the body, suggesting that the volatiles represent both present-day and ancient thermal environments. In contrast, the orbital history of Mercury is relatively stable through time and thus cold traps have been stable for billions of years. The discovery of polar volatiles on Mercury and the Moon has revolutionized our knowledge of the nature and distribution of volatiles in the inner Solar System, and has subsequently inspired the exploration of these significant scientific legacies and potential future resources. Volatiles hold records of the geological, geochemical, and orbital histories of Mercury and the Moon, and understanding the source of these volatiles may provide insight into the degassing history of these bodies and the flux of impactors in the Solar System. Exploring these materials with future missions is critical in answering these questions and assessing the potential for supporting human exploration. Future missions will address outstanding knowledge gaps regarding water-ice on Mercury (ESA-JAXA BepiColombo) and the Moon (U.S. Resource Prospector, Russian Luna 25-27). We assess PSRs in lunar south polar craters in order to provide context for candidate volatile contributions and future exploration.