Building on the legacy of the Sloan Digital Sky Survey (SDSS-I and II), SDSS-III is a program of four spectroscopic surveys on three scientific themes: dark energy and cosmological parameters, the history and structure of the Milky Way, and the population of giant planets around other stars. In keeping with SDSS tradition, SDSS-III will provide regular public releases of all its data, beginning with SDSS DR8 (which occurred in Jan 2011). This paper presents an overview of the four SDSS-III surveys. BOSS will measure redshifts of 1.5 million massive galaxies and Lya forest spectra of 150,000 quasars, using the BAO feature of large scale structure to obtain percent-level determinations of the distance scale and Hubble expansion rate at z<0.7 and at z~2.5. SEGUE-2, which is now completed, measured medium-resolution (R=1800) optical spectra of 118,000 stars in a variety of target categories, probing chemical evolution, stellar kinematics and substructure, and the mass profile of the dark matter halo from the solar neighborhood to distances of 100 kpc. APOGEE will obtain high-resolution (R~30,000), high signal-to-noise (S/N>100 per resolution element), H-band (1.51-1.70 micron) spectra of 10^5 evolved, late-type stars, measuring separate abundances for ~15 elements per star and creating the first high-precision spectroscopic survey of all Galactic stellar populations (bulge, bar, disks, halo) with a uniform set of stellar tracers and spectral diagnostics. MARVELS will monitor radial velocities of more than 8000 FGK stars with the sensitivity and cadence (10-40 m/s, ~24 visits per star) needed to detect giant planets with periods up to two years, providing an unprecedented data set for understanding the formation and dynamical evolution of giant planet systems. (Abridged)