Why is "Güneş'ten" written with a big "G" ? Is it always this way for sun and moon?
Why is: "Güneş'ten ay daha küçüktür" incorrect.
And why "Dunya ay'dan daha buyuktur" correct?
The thing you are comparing to always comes after the subject :)
And the latter is a correct sentence, but not for this sentence. That would be "The Earth is biggest that the Moon." :)
why is there a coma after Ay?
A comma can be used in Turkish to mark the subject of a sentence. You will often see this if a subject is many-words-long or far from the main predicate/verb, or if it is useful to make clear that it is not grammatically connected to the next word.