We report the first magnetocaloric and calorimetric observations of a magnetic-field-induced phase transition within a superconducting state to the long-sought exotic Fulde-Ferrell-Larkin-Ovchinnikov (FFLO) superconducting state, first predicted over 50 years ago. Through the combination of bulk thermodynamic calorimetric and magnetocaloric measurements in the organic superconductor κ-(BEDT-TTF)_{2}Cu(NCS)_{2} as a function of temperature, magnetic field strength, and magnetic field orientation, we establish for the first time that this field-induced first-order phase transition at the paramagnetic limit H_{p} is a transition to a higher-entropy superconducting phase, uniquely characteristic of the FFLO state. We also establish that this high-field superconducting state displays the bulk paramagnetic ordering of spin domains required of the FFLO state. These results rule out the alternate possibility of spin-density wave ordering in the high-field superconducting phase. The phase diagram determined from our measurements-including the observation of a phase transition into the FFLO phase at H_{p}-is in good agreement with recent NMR results and our own earlier tunnel-diode magnetic penetration depth experiments but is in disagreement with the only previous calorimetric report.