Gravity is the curvature of space-time due to mass, according to general relativity. This means that wherever there is mass, space-time will be curved and 'gravity' will be present. The magnitude of the warp of space-time is relative to the amount of mass.
A classic analogy for visualizing this is placing a bowling ball on a trampoline. Imagine the bowling ball is the earth and that the moon is a marble. When you place the bowling ball on a trampoline it bends the fabric, now if you roll a marble in the vicinity of the bowling ball it will 'fall' towards the ball.
If the marble has enough velocity it will circle the bowling ball, essentially orbiting it on a geodesic. This is exactly how the moon orbits the earth. With this is mind, gravity will vary from place to place depending on the local curvature of spacetime, which in turn depends on the mass(es) in that vicinity.
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