We report the first observation of the associated production of a W boson and a Z boson. This result is based on 1.1  fb−1 of integrated luminosity from pp collisions at s√=1.96  TeV collected with the CDF II detector at the Fermilab Tevatron. We observe 16 WZ candidates passing our event selection with an expected background of 2.7±0.4 events. A fit to the missing transverse energy distribution indicates an excess of events compared to the background expectation corresponding to a significance equivalent to 6 standard deviations. The measured cross section is σ(pp→WZ)=5.0+1.8−1.6  pb, consistent with the standard model expectation.