Escape Velocity
If a rocket or projectile is fired off with a velocity greater than 11.2 km/sec (25,000 miles per hour) from Earth's surface, it will escape Earth altogether. Note in the figure, the more massive and dense a planet, the greater the escape velocity (higher in the graph). The Moon and Mercury are small planets, and the Moon in particular has a very low density.

Temperature
Hydrogen and helium are the lightest atoms. Carbon Dioxide, Water, and N₂ are more heavy molecules. At a single temperature, the massive molecules move slowest and the light atoms move faster. The hotter the gas, the faster the atoms move. If a planet's atmosphere is hot enough, the lightest atoms in the atmosphere may move fast enough to achieve the escape velocity evaporate away entirely from the planet! The temperature of the planets directly correlates with distance from the Sun.

Evolution of Mars' Atmosphere
Early on, the terrestrial planets lost their hydrogen gas (H_{2) in their atmosphere. Mars is massive enough to keep its water, N2 and carbon dioxide. However, UV light from the Sun broke up the water molecules, releasing the light hydrogen atoms to space (this happened on Venus, too). The oxygen left over stuck around and reacted with the rock, rusting the Martian surface, giving it its distinctive orange color. Because of the large fraction of heavy elements still captured by Mars (Argon, etc), it is believed Mars once had a more dense atmosphere.}

The Effect of the Solar Wind
Particles (mostly protons and electrons) come streaming from the Sun all the time. They do not penetrate Earth's atmosphere because we have a magnetic field, which acts like a shield to charged particles (they can not cross the field lines easily!). When a large Solar storm releases a large burst of particles, it's seen as an Aurora Borealis on Earth, such as seen early this week, as the charged particles spiral down on the Earth's magnetic pole. On Mars, however, there is no magnetic field! Charged particles come streaming through at enormous velocity and help to strip away molecules in Mars' atmosphere.