Gamma-ray burst astronomy has undergone a revolution in the last three years, spurred by the discovery of fading long-wavelength counterparts. We now know that at least the long duration GRBs lie at cosmological distances with estimated electromagnetic energy release of 10$^51$-10$^53$ erg, making these the brightest explosions in the Universe. In this article we review the current observational state, beginning with the statistics of X-ray, optical, and radio afterglow detections. We then discuss the insights these observations have given to the progenitor population, the energetics of the GRB events, and the physics of the afterglow emission. We focus particular attention on the evidence linking GRBs to the explosion of massive stars. Throughout, we identify remaining puzzles and uncertainties, and emphasize promising observational tools for addressing them. The imminent launch of HETE-2 and the increasingly sophisticated and coordinated ground-based and space-based observations have primed this field for fantastic growth. .