  Similar to the cuprate high TC superconductors, the iron pnictide
superconductors also lie in close proximity to a magnetically ordered phase. A
central debate concerning the superconducting mechanism is whether the local
magnetic moments play an indispensable role or the itinerant electron
description is sufficient. A key step for resolving this issue is to acquire a
comprehensive picture regarding the nature of various phases and interactions
in the iron compounds. Here we report the doping, temperature, and spatial
evolutions of the electronic structure of NaFe1-xCoxAs studied by scanning
tunneling microscopy. The spin density wave gap in the parent state is observed
for the first time, which shows a strongly asymmetric lineshape that is
incompatible with the conventional Fermi surface nesting scenario. The
optimally doped sample exhibits a single, symmetric energy gap, but in the
overdoped regime another asymmetric gap-like feature emerges near the Fermi
level. This novel gap-like phase coexists with superconductivity in the ground
state, persists deep into the normal state, and shows strong spatial
variations. The characteristics of the three distinct low energy states, in
conjunction with the peculiar high energy spectra, suggest that the coupling
between the local moments and itinerant electrons is the fundamental driving
force for the phases and phase transitions in the iron pnictides.
