  We present the discovery of GRB 020405 made with the Inter-Planetary Network
(IPN). With a duration of 60 s, the burst appears to be a typical long duration
event. We observed the 75-square acrminute IPN error region with the Mount
Stromlo Observatory's 50-inch robotic telescope and discovered a transient
source which subsequently decayed and was also associated with a variable radio
source. We identify this source as the afterglow of GRB 020405. Subsequent
observations by other groups found varying polarized flux and established a
redshift of 0.690 to the host galaxy. Motivated by the low redshift we
triggered observations with WFPC2 on-board the Hubble Space Telescope (HST).
Modeling the early ground-based data with a jet model, we find a clear red
excess over the decaying optical lightcurves that is present between day 10 and
day 141 (the last HST epoch). This `bump' has the spectral and temporal
features expected of an underlying supernova (SN). In particular, the red color
of the putative SN is similar to that of the SN associated with GRB 011121, at
late time. Restricting the sample of GRBs to those with z<0.7, a total of five
bursts, red bumps at late times are found in GRB 970228, GRB 011121, and GRB
020405. It is possible that the simplest idea, namely that all long duration
GRBs have underlying SNe with a modest dispersion in their properties
(especially peak luminosity), is sufficient to explain the non detections.
