Hydrodynamic simulations predict that low-redshift baryons are predominantly in a warm-hot intergalactic medium (WHIM), which should exhibit absorption and emission lines in the soft X-ray region. The WHIM is predicted to be most dense around clusters of galaxies. We present our XMM-Newton RGS observations of X Comae, an active galactic nucleus behind the Coma Cluster. We detect absorption by Ne IX and O VIII at the redshift of Coma with an equivalent width of 3.3 ± 1.8 and 1.7 ± 1.3 eV, respectively (90% confidence errors or 2.3 and 1.9 σ confidence detections determined from Monte Carlo simulations). The combined significance of both lines is 3.0 σ, again determined from Monte Carlo simulations. The same observation yields a high-statistics EPIC spectrum of the Coma Cluster gas at the position of X Com. We detect emission by Ne IX with a flux of (2.5 ± 1.2) × 10^-8 photons cm^-2 s^-1 arcmin^-2 (90% confidence errors or 3.4 σ confidence detection). These data permit a number of diagnostics to determine the properties of the material causing the absorption and producing the emission. Although a wide range of properties are permitted, values near the midpoint of the range are temperature ~4 × 10⁶ K, density ~6 × 10^-6 cm^-3 corresponding to an overdensity with respect to the mean of ~32, and line-of-sight path length through it ~41(Z/Z)^-1 Mpc, where (Z/Z) is the neon metallicity relative to solar. These are properties that have been predicted of the WHIM, so we conclude that we have detected the WHIM associated with the Coma Cluster.