Although the Sloan Digital Sky Survey (SDSS) was primarily envisioned as a tool for understanding the nature of the `high redshift' universe, significant discoveries have already been made at lower redshift, z~0, through studies of stars in the Milky Way galaxy. We have begun to explore the nature of the Milky Way by detailed investigation of the publicly accessible SDSS archive, using spectroscopically targeted stars of special interest (e.g. field horizontal-branch stars, carbon-enhanced stars, and F- and G-type turnoff stars), as well as the stars originally selected as photometric and reddening standards. The first step is to use the SDSS data (which includes independently calibrated five-band photometry and spectrophotometry of individual stars) to derive reliable estimates of the stellar physical parameters, such as T eff, logg, and [Fe/H], for stars that have been observed to date. Of particular interest, at present, are the stars that are apparently associated with the Monoceros Stream (also known as the SDSS `Ring around the Galaxy'), for which we report derived metallicities. The techniques we have developed for derivation of the physical parameters for these stars are presently being applied to other stars in the SDSS database, including the Early Data Release (EDR), as well as the first official public database, DR-1. Here we report on the progress made to date, and comment on what might be explored in the near future from a dedicated extension of the SDSS survey (SEGUE) that specifically targets stars in the Milky Way.