The experimental realization of Bose-Einstein condensates of dilute gases has allowed investigations of fundamental concepts in quantum mechanics at ultra-low temperatures, such as wave-like behaviour and interference phenomena. The formation of an interference pattern depends fundamentally on the phase coherence of a system; the latter may be quantified by the spatial correlation function. Phase coherence over a long range is the essential factor underlying Bose-Einstein condensation and related macroscopic quantum phenomena, such as superconductivity and superfluidity. Here we report a direct measurement of the phase coherence properties of a weakly interacting Bose gas of rubidium atoms. Effectively, we create a double slit for magnetically trapped atoms using a radio wave field with two frequency components. The correlation function of the system is determined by evaluating the interference pattern of two matter waves originating from the spatially separated 'slit' regions of the trapped gas. Above the critical temperature for Bose-Einstein condensation, the correlation function shows a rapid gaussian decay, as expected for a thermal gas. Below the critical temperature, the correlation function has a different shape: a slow decay towards a plateau is observed, indicating the long-range phase coherence of the condensate fraction.