you can destroy planets and moons. To do so hold down control, right click on a star or planet and click attack. Dont use dreadnaughts or youll be there all day, best bet is to use a larger ship equipped with a directed spatial manipulator thingy magiggy. Remember tho you blow a star, anything attacking it is practically doomed. Although i suppose if you equipped a ship with an advanced targeting sensor, so the weapon was very long range, fired the gun and then activated a jump drive, you might be able to get out in time.