  We measure cosmological parameters using the three-dimensional power spectrum
P(k) from over 200,000 galaxies in the Sloan Digital Sky Survey (SDSS) in
combination with WMAP and other data. Our results are consistent with a
``vanilla'' flat adiabatic Lambda-CDM model without tilt (n=1), running tilt,
tensor modes or massive neutrinos. Adding SDSS information more than halves the
WMAP-only error bars on some parameters, tightening 1 sigma constraints on the
Hubble parameter from h~0.74+0.18-0.07 to h~0.70+0.04-0.03, on the matter
density from Omega_m~0.25+/-0.10 to Omega_m~0.30+/-0.04 (1 sigma) and on
neutrino masses from <11 eV to <0.6 eV (95%). SDSS helps even more when
dropping prior assumptions about curvature, neutrinos, tensor modes and the
equation of state. Our results are in substantial agreement with the joint
analysis of WMAP and the 2dF Galaxy Redshift Survey, which is an impressive
consistency check with independent redshift survey data and analysis
techniques. In this paper, we place particular emphasis on clarifying the
physical origin of the constraints, i.e., what we do and do not know when using
different data sets and prior assumptions. For instance, dropping the
assumption that space is perfectly flat, the WMAP-only constraint on the
measured age of the Universe tightens from t0~16.3+2.3-1.8 Gyr to
t0~14.1+1.0-0.9 Gyr by adding SDSS and SN Ia data. Including tensors, running
tilt, neutrino mass and equation of state in the list of free parameters, many
constraints are still quite weak, but future cosmological measurements from
SDSS and other sources should allow these to be substantially tightened.
