This riddle is actually a short story, and a pretty hard one to crack. I've read it in a book literally more than 8 years ago, but I still remember the important parts, as well as the solution. The story goes like this:
Mary and Max were sitting on a hillside. It was a warm summer night and the grasshoppers were chirping. Slight breeze made it all the more enjoyable to be outside. Mary and Max were talking and laughing, carelessly gazing at the beautiful dark sky filled with thousands of stars.
"What star is the closest to us, Max?" asked Mary giving him half an apple.
"Well, that's easy. The Sun," Max responded quickly and possibly a bit pretentiously.
"Nope," said Mary complacently.
Max scratched his head and started thinking harder. He laid on the ground and focused all his attention to the sky above him.
"Well... You do know that the Moon is not a star, right?" asked Max with a grin on his face.
"Of course not," answered Mary, as if she had anticipated that question.
They kept laying in silence, enjoying the beautiful summer sky.
So, which star was actually closest to them?
Note: I read this story so long ago, and keep in mind that this version here is paraphrased from my memories which are vague. Even though my English is pretty decent, the same cannot be said for my prosaic style and talent. I did spend half an hour writing this so as to best resemble the actual story written by people who write way better than me.
I truly hope that the way I wrote it will not ruin this beautiful riddle in any way.
Note#2 (slight hint): Only some people can solve this, since there is a particular thing you need to know in order to solve it in addition to being quite good at puzzles as well. I'm only saying this because I couldn't solve it for some reasons that you'll understand once the solution is unveiled.