The Cow who Jumped over the Moon is a character that is referenced throughout certain points in the series. She originates from the nursery rhyme, "Hey Diddle Diddle".
She first appeared in the Shrek X-Box game as an enemy who can only be defeated by being expelled with gas. The Cow shows up in both Mother Goose Land and the Red Dragon Castle, bothering the locals in those areas by "jumping over the moon" and dancing at night. Her role in the GameCube port remains unchanged.
She made a cameo in Shrek the Musical during the musical number, "Travel Song" where she appears as a stuffed cow being thrown over a moon. She yells "MOOOO!!!" when she appears on stage.