We present the discovery and follow-up observations of the afterglow of the GRB 011121 and its associated supernova SN 2001ke. Images were obtained with the OGLE 1.3m telescope in BVRI passbands, starting 10.3 hours after the burst. The temporal analysis of our early data indicates a steep decay, independent of wavelength with power-law index alpha=-1.72+/-0.05. There is no evidence for a break in the light curve earlier than 2.5 days after the burst. The spectral energy distribution determined from the early broad-band photometry is a power-law with index beta=-0.66+/-0.13 after correcting for a large reddening. Spectra, obtained with the Magellan 6.5m Baade telescope, reveal narrow emission lines from the host galaxy which provide a redshift of z=0.362+/-0.001 to the GRB. We also present late R and J-band observations of the afterglow between 7-17 days after the burst. The late-time photometry shows a large deviation from the initial decline and our data combined with Hubble Space Telescope photometry provide strong evidence for a supernova peaking about 12 rest-frame days after the GRB. The first spectrum ever obtained of a GRB supernova at cosmological distance revealed a blue continuum. SN 2001ke was more blue near maximum than SN 1998bw and faded more quickly which demonstrates that a range of properties are possible in supernovae which generate GRB. The blue color is consistent with a supernova interacting with circumstellar gas and this progenitor wind is also evident in the optical afterglow. This is the best evidence to date that classical, long gamma-ray bursts are generated by core-collapse supernovae.
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