We introduce the first passage set (FPS) of constant level -a of the two-dimensional continuum Gaussian free field (GFF) on finitely connected domains. Informally, it is the set of points in the domain that can be connected to the boundary by a path on which the GFF does not go below -a. It is, thus, the two-dimensional analogue of the first hitting time of -a by a one-dimensional Brownian motion. We provide an axiomatic characterization of the FPS, a continuum construction using level lines, and study its properties: it is a fractal set of zero Lebesgue measure and Minkowski dimension 2 that is coupled with the GFF Phi as a local set A so that Phi+a restricted to A is a positive measure. One of the highlights of this paper is identifying this measure as a Minkowski content measure in the non-integer gauge r?|log(r)|1/2r2, by using Gaussian multiplicative chaos theory.