We observed Mrk 509 during the fall of 2009 during a multiwavelength campaign using XMM-Newton, Chandra, HST/COS, SWIFT, and Integral. The 600-ks XMM/RGS spectrum finds two kinematic components and a discrete distribution of ionized absorbers. Our high S/N COS spectrum detects additional complexity in the known UV absorption troughs from a variety of sources in Mrk 509, including the outflow from the active nucleus, the ISM and halo of the host galaxy, and infalling clouds or stripped gas from a merger that are illuminated by the AGN. The UV absorption only partially covers the emission from the AGN nucleus with covering fractions lower than those previously seen with STIS, and are comparable to those seen with FUSE. Given the larger apertures of COS and FUSE compared to STIS, we favor scattered light from an extended region near the AGN as the explanation for the partial covering. As observed in prior X-ray and UV spectra, the UV absorption has velocities comparable to the X-ray absorption, but the bulk of the ultraviolet absorption is in a lower ionization state with lower total column density than the gas responsible for the X-ray absorption. Variability compared to prior UV spectra lets us set limits on the location, density, mass flux, and kinetic energy of the outflowing gas. For component 1 at $-400 rm km s^{-1}$, the kinetic energy flux of both the UV and the X-ray outflow is insufficient to have a significant impact on further evolution of the host galaxy.