The double pulsar system PSR J0737-3039A/B is unique in that both neutron stars are detectable as radio pulsars. They are also known to have much higher mean orbital velocities and accelerations than those of other binary pulsars. The system is therefore a good candidate for testing Einstein's theory of general relativity and alternative theories of gravity in the strong-field regime. We report on precision timing observations taken over the 2.5 years since its discovery and present four independent strong-field tests of general relativity. These tests use the theory-independent mass ratio of the two stars. By measuring relativistic corrections to the Keplerian description of the orbital motion, we find that the ``post-Keplerian'' parameter s agrees with the value predicted by general relativity within an uncertainty of 0.05%, the most precise test yet obtained. We also show that the transverse velocity of the system's center of mass is extremely small. Combined with the system's location near the Sun, this result suggests that future tests of gravitational theories with the double pulsar will supersede the best current solar system tests. It also implies that the second-born pulsar may not have formed through the core collapse of a helium star, as is usually assumed.