We have known for a while that our Milky Way, like other nearby galaxies, is missing most of its baryons, when compared to the cosmological baryonic to total matter ratio. Cosmological simulations of galaxy formation suggest that for a galaxy like the Milky Way, in addition to the baryonic mass of the Galactic disk, about 70% extra baryonic mass should reside in the halo, in a warm-hot gas phase at temperatures between one hundred thousand K and 10 million K. I will discuss the gaseous halo of the Milky Way with emphasis on the hot phase probed with X-ray absorption lines. Using Chandra data we recently showed that the hot phase of the halo is massive, extending over a large region around the Milky Way, with a radius of over 100 kpc. The mass content of this phase is over ten billion solar masses, many times more than that in cooler gas phases and comparable to the total baryonic mass in the disk of the Galaxy. The missing mass of the Galaxy appears to be in this warm-hot gas phase.
