We use the article "the" because "sun" and "moon" are common nouns while Mars is a proper name of a planet. This rule applies generally to people as well. For example, let's contrast a person's name versus what the person is to clarify: Incorrect: "I'm going to meet the Hermione who lives down the street." Correct: "I'm going to meet Hermione who lives down the street". Incorrect: "I'm going to meet student who lives down the street". Correct: "I'm going to meet the student who lives down the street." There are exceptions though when we use the noun to describe the person, place, or thing that has a proper name: "I'm going to the planet, Mars." "I'm going to meet the student, Hermione." The name of our planet is "Earth", and use of "the" is more versatile because the word itself may describe the ground and the planet. All the following are possible uses of it: "I fell to the earth [ground] when he struck me with his sword." "I'Il travel from Earth [planet] to the sun one day." "The planet Earth will continue to spin when we've become still." I hope that's clearer. ^.^ Articles are a bit tricky to understand.

'Why' is rarely a useful question in English language questions! The honest answer is almost always 'because that is the way it is'. Yes, you are right. "we should use "the" before "sun", "earth" and "moon", but not for other planet like Mars, Jupiter, Mercury etc". There are a few others, like "The milky way", and "The southern cross". In general, you don't use 'the' before simple names. The planets you listed are named after Roman gods. 'The' is a very tricky word.