Gilly is a tiny asteroid and the only natural satellite of Eve. Gilly is the smallest celestial body in the Kerbol system. Landing on Gilly is challenging due to its very low mass, steep slopes, and highly eccentric orbit, making it very easy to overthrust engines or send a spacecraft tumbling. Escaping Gilly in turn is very easy as engines with a very low thrust or even with a Kerbin's jetpack are enough to escape Gilly's sphere of influence.
Gilly has the least gravity of any body in the Kerbol system, with half of Jool's moon Pol due to its extremely small mass and size. A Kerbal can jump over 1000 feet on this moon. Gilly's gravity makes it ideal for very low fuel interplanetary missions. Gilly also has an irregular orbit, so catching the moon is a tad harder.
An unplanned encounter with Gilly is unlikely when approaching Eve, even if player's trajectory is near the plane of Gilly's orbit. This is because Gilly's sphere of influence is very small relative to the semi-major axis of its orbit — in fact, no other moon in the game has a smaller SOI-to-semi-major-axis ratio.