The Sloan Digital Sky Survey (SDSS) is making a multi-colour, three-dimensional map of the nearby Universe. The survey is in two parts. The first part is imaging one quarter of the sky in five colours from the near ultraviolet to the near infrared. This imaging survey is expected to detect around 50 million galaxies to a magnitude limit g~23. The second part of the survey, taking place concurrently with the imaging, is to obtain spectra for up to 1 million galaxies and 100 000 quasars. From these spectra one obtains redshifts and hence distances, in order to map out the three-dimensional distribution of galaxies and quasars in the Universe. These observations will be used to constrain models of cosmology and of galaxy formation and evolution. This article describes the goals and methods used by the SDSS, the current status of the survey, and highlights some exciting discoveries made from data obtained in the first two years of survey operations.