The lighter molecules require the least energy to escape. This is why Earth's atmosphere has so much less hydrogen and helium than say Jupiter or Saturn (proportionally). We've lost some of our hydrogen and helium, but held onto (so far) heavier gases like nitrogen and oxygen. read more
Several planets and moons in the Solar System and Universe do indeed have atmospheres. Earth is not the only planet with an atmosphere in the Solar System: Venus, Earth, Mars, Jupiter, Saturn, Uranus, and Neptune all have clear atmospheres that vary in composition and scale. read more