Using the photometric parallax method we estimate the distances to ~48 million stars detected by the Sloan Digital Sky Survey (SDSS) and map their three-dimensional number density distribution in the Galaxy. The currently available data sample the distance range from 100 pc to 20 kpc and cover 6500 deg2 of sky, mostly at high Galactic latitudes (|b| > 25). These stellar number density maps allow an investigation of the Galactic structure with no a priori assumptions about the functional form of its components. The data show strong evidence for a Galaxy consisting of an oblate halo, a disk component, and a number of localized overdensities. The number density distribution of stars as traced by M dwarfs in the solar neighborhood (D < 2 kpc) is well fit by two exponential disks (the thin and thick disk) with scale heights and lengths, bias corrected for an assumed 35% binary fraction, of H1 = 300 pc and L1 = 2600 pc, and H2 = 900 pc and L2 = 3600 pc, and local thick-to-thin disk density normalization ρthick(R☉)/ρthin(R☉) = 12% . We use the stars near main-sequence turnoff to measure the shape of the Galactic halo. We find a strong preference for oblate halo models, with best-fit axis ratio c/a = 0.64, ρH propto r-2.8 power-law profile, and the local halo-to-thin disk normalization of 0.5%. Based on a series of Monte Carlo simulations, we estimate the errors of derived model parameters not to be larger than ~20% for the disk scales and ~10% for the density normalization, with largest contributions to error coming from the uncertainty in calibration of the photometric parallax relation and poorly constrained binary fraction. While generally consistent with the above model, the measured density distribution shows a number of statistically significant localized deviations. In addition to known features, such as the Monoceros stream, we detect two overdensities in the thick disk region at cylindrical galactocentric radii and heights (R,Z) ~ (6.5,1.5) kpc and (R,Z) ~ (9.5,0.8) kpc and a remarkable density enhancement in the halo covering over 1000 deg2 of sky toward the constellation of Virgo, at distances of ~6-20 kpc. Compared to counts in a region symmetric with respect to the l = 0° line and with the same Galactic latitude, the Virgo overdensity is responsible for a factor of 2 number density excess and may be a nearby tidal stream or a low-surface brightness dwarf galaxy merging with the Milky Way. The u - g color distribution of stars associated with it implies metallicity lower than that of thick disk stars and consistent with the halo metallicity distribution. After removal of the resolved overdensities, the remaining data are consistent with a smooth density distribution; we detect no evidence of further unresolved clumpy substructure at scales ranging from ~50 pc in the disk to ~1-2 kpc in the halo.