The coupling of the spin of electrons to their motional state lies at the heart of recently discovered topological phases of matter. Here we create and detect spin-orbit coupling in an atomic Fermi gas, a highly controllable form of quantum degenerate matter. We directly reveal the spin-orbit gap via spin-injection spectroscopy, which characterizes the energy-momentum dispersion and spin composition of the quantum states. For energies within the spin-orbit gap, the system acts as a spin diode. We also create a spin-orbit coupled lattice and probe its spinful band structure, which features additional spin gaps and a fully gapped spectrum. In the presence of s-wave interactions, such systems should display induced p-wave pairing, topological superfluidity, and Majorana edge states.