I'd like to issue a correction.
When news of Dr Houssam Toutanji's development of sulfur based concrete was released, I, in my infinite knowledge panned the innovation as too expensive due to low levels of sulfur. I stated that sulfur was found in the regolith at levels of 400-1300 ppm. However Peter Kokh, current president of the Moon Society, corrected me on the Moon Society's Yahoo discussion group. I just want to say thank you to Peter for the correction. He pointed me to this article here, and a little digging of my own led to this and this and if it doesn't take you to the right page, it's page 450. From the paper USES OF LUNAR SULFUR by D. Vaniman, D. Pettit, and G. Heiken: Although sulfur is not so abundant that it is available without effort, it does rank eleventh in weight abundance among the elements in average lunar mare rocks. Gibson and M¢_re ( 1974 ) found that the high-Ti mare basalts, in particular, have high sulfur contents, in the range of 0.16% to 0.27% by weight. These authors also make the important point that lunar basalts actually have more sulfur than terrestrial basalts.
Sulfur is best found in mare basalts, specifically basalts that are high in titanium. Given that NASA is looking at processing ilmenite for oxygen, the same regolith that we'd be processing for oxygen can be use to extract sulfur for construction.
Altair VI, a fellow space blog pointed me in the direction of a treasure trove for lunar enthusiasts.
I present the single paper "Uses of Lunar Sulfur" from the National Space Society's website and the "The Second Conference on Lunar Bases and Space Activities of the 21st Century, volumes 1 and 2" from the Harvard web-servers.