Several popular cosmological models predict that most of the baryonic mass in the local universe is located in filamentary and sheet-like structures associated with groups and clusters of galaxies. This gas is expected to be gravitationally heated to ~10^6 K and therefore emitting in the soft X-rays. We have investigated three fields with large scale structures of galaxies at redshifts 0.1, 0.45, 0.79 and found signatures of warm-hot thermal emission (kT< 1 keV) correlated with the distribution of galaxies for the first two. The correlation and the properties of both X-ray and galaxy distribution strongly suggest that the diffuse X-ray flux is due to extragalactic emission by the Warm-Hot Intergalactic Medium (WHIM) predicted by cosmological models.