I've been to a couple of courses where the lecturers asked students to prove many fundamental theorems and examples as exercises (eg Ravi Vakil's algebraic geometry, you can see this in his online notes http://math.stanford.edu/~vakil/0708-216/ ). I know some students find it very frustrating, and for me this style is time-consuming and -inflexible (as in, if I don't try the questions straight after the lecture, I can't understand the next one), but I came away with a much deeper understanding than I usually get from courses. (I haven't heard of the Moore method before, but this sounds like something related.)
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