It would be even better on the moon. Yes, here on earth you can run atop a pool of water-mixed-with-cornstarch, as people are doing in this video:
But you could also run atop a pool of pure water—if you and that water were somewhere that has weaker gravity. The moon is one such place. An experiment demonstrated the truth of that. The experimenters were awarded an Ig Nobel Prize in physics, in 2013, for their work. The prize was awarded to Alberto Minetti, Yuri Ivanenko, Germana Cappellini, Nadia Dominici, and Francesco Lacquaniti. Their study is “Humans Running in Place on Water at Simulated Reduced Gravity,” Alberto E. Minetti, Yuri P. Ivanenko, Germana Cappellini, Nadia Dominici, Francesco Lacquaniti, PLoS ONE, vol. 7, no. 7, 2012, e37300. This video shows the experiment: