We present the first measurements of clustering in the Sloan Digital Sky Survey (SDSS) galaxy redshift survey. Our sample consists of 29,300 galaxies with redshifts 5700 km s-1 ≤ cz ≤ 39,000 km s-1, distributed in several long but narrow (25-5°) segments, covering 690 deg2. For the full, flux-limited sample, the redshift-space correlation length is approximately 8 h-1 Mpc. The two-dimensional correlation function ξ(rp,π) shows clear signatures of both the small-scale, fingers-of-God distortion caused by velocity dispersions in collapsed objects and the large-scale compression caused by coherent flows, though the latter cannot be measured with high precision in the present sample. The inferred real-space correlation function is well described by a power law, ξ(r) = (r/6.1 ± 0.2 h-1 Mpc)-1.75±0.03, for 0.1 h-1 Mpc ≤ r ≤ 16 h-1 Mpc. The galaxy pairwise velocity dispersion is σ12 ≈ 600 ± 100 km s-1 for projected separations 0.15 h-1 Mpc ≤ rp ≤ 5 h-1 Mpc. When we divide the sample by color, the red galaxies exhibit a stronger and steeper real-space correlation function and a higher pairwise velocity dispersion than do the blue galaxies. The relative behavior of subsamples defined by high/low profile concentration or high/low surface brightness is qualitatively similar to that of the red/blue subsamples. Our most striking result is a clear measurement of scale-independent luminosity bias at r 10 h-1 Mpc: subsamples with absolute magnitude ranges centered on M* - 1.5, M*, and M* + 1.5 have real-space correlation functions that are parallel power laws of slope ≈-1.8 with correlation lengths of approximately 7.4, 6.3, and 4.7 h-1 Mpc, respectively.