With an extinction-corrected V-band peak absolute magnitude of about -22, supernova SN 2006gy is probably the brightest SN ever observed. We report on multiwavelength observations of this SN and its environment. Our spectroscopy shows an Hα emission line as well as absorption features that may be identified as Si II lines at low expansion velocity. The slow brightening, the peak luminosity, and the Hα emission line resemble those observed in hybrid Type IIn/Ia SNe (also known as Type IIa) and may suggest that SN 2006gy is related to the Type IIa SNe class. The host galaxy, NGC 1260, is dominated by an old stellar population with solar metallicity. However, our high-resolution adaptive optics images reveal a dust lane in this galaxy, and there appears to be an H II region in the vicinity of the SN. The extraordinarily large peak luminosity, ~3 × 1044 ergs s-1, demands a dense circumstellar medium, regardless of the mass of the progenitor star. The inferred mass-loss rate of the progenitor is ~0.1 Msolar yr-1 over a period of ~10 yr prior to explosion. Such an high mass-loss rate may be the result of a binary star common envelope ejection. The total radiated energy in the first 2 months is about 1.1 × 1051 ergs, which is only a factor of 2 less than that available from a super-Chandrasekhar Type Ia explosion. Therefore, given the presence of a star-forming region in the vicinity of the SN and the high-energy requirements, a plausible scenario is that SN 2006gy is related to the death of a massive star.