A gravitational-wave (GW) transient was identified in data recorded by the Advanced Laser Interferometer Gravitational-wave Observatory (LIGO) detectors on 2015 September 14. The event, initially designated G184098 and later given the name GW150914, is described in detail elsewhere. By prior arrangement, preliminary estimates of the time, significance, and sky location of the event were shared with 63 teams of observers covering radio, optical, near-infrared, X-ray, and gamma-ray wavelengths with ground- and space-based facilities. In this Letter we describe the low-latency analysis of the GW data and present the sky localization of the first observed compact binary merger. We summarize the follow-up observations reported by 25 teams via private Gamma-ray Coordinates Network circulars, giving an overview of the participating facilities, the GW sky localization coverage, the timeline and depth of the observations. As this event turned out to be a binary black hole merger, there is little expectation of a detectable electromagnetic (EM) signature. Nevertheless, this first broadband campaign to search for a counterpart of an Advanced LIGO source represents a milestone and highlights the broad capabilities of the transient astronomy community and the observing strategies that have been developed to pursue neutron star binary merger events. Detailed investigations of the EM data and results of the EM follow-up campaign are being disseminated in papers by the individual teams.