  We present the discovery and follow-up observations of the afterglow of the
GRB 011121 and its associated supernova SN 2001ke. Images were obtained with
the OGLE 1.3m telescope in BVRI passbands, starting 10.3 hours after the burst.
The temporal analysis of our early data indicates a steep decay, independent of
wavelength with power-law index alpha=-1.72+/-0.05. There is no evidence for a
break in the light curve earlier than 2.5 days after the burst. The spectral
energy distribution determined from the early broad-band photometry is a
power-law with index beta=-0.66+/-0.13 after correcting for a large reddening.
Spectra, obtained with the Magellan 6.5m Baade telescope, reveal narrow
emission lines from the host galaxy which provide a redshift of z=0.362+/-0.001
to the GRB. We also present late R and J-band observations of the afterglow
between 7-17 days after the burst. The late-time photometry shows a large
deviation from the initial decline and our data combined with Hubble Space
Telescope photometry provide strong evidence for a supernova peaking about 12
rest-frame days after the GRB. The first spectrum ever obtained of a GRB
supernova at cosmological distance revealed a blue continuum. SN 2001ke was
more blue near maximum than SN 1998bw and faded more quickly which demonstrates
that a range of properties are possible in supernovae which generate GRB. The
blue color is consistent with a supernova interacting with circumstellar gas
and this progenitor wind is also evident in the optical afterglow. This is the
best evidence to date that classical, long gamma-ray bursts are generated by
core-collapse supernovae.
