The next version of Moq 3.0 will work better for Pex:

http://www.clariusconsulting.net/blogs/kzu/archive/2009/03/05/120009.aspx

In the past, Pex would analyze the Moq ‘engine’ code and spend a large amount of time trying to understand the internals of that framework. In this release, Daniel has added special annotations (see extension writer Handbook) that shut down the Pex monitoring for certain areas of Moq which don’t matter to analyse the code under test.