Is it possible to get energy from frozen methane without oxygen? In one of the solar system documentaries it was mentioned there are moons in the solar system with lakes of frozen methane.

Assuming humans or robots or whatever could make it there, would there be a way to extract energy from frozen methane without using oxygen? Otherwise, it would seem that the oxygen would have to be carried there as well. 

Is it possible to recycle the oxygen efficiently enough to burn methane again and again?
The planet will have gaseous oxygen if it does have an atmosphere, and if that is the case then with enough energy(like a spark) atomized hydrocarbons could be lit for energy. What is atomizing you say? Well its just breaking a liquid apart into little particles, making it easier for the oxygen to react with said methane.

As for recycling the oxygen from the combustion reaction, it will not be possible to do in an energy efficient way, CO2 is too stable and the bonds are too strong.