We report the discovery of three cool brown dwarfs that fall in the effective temperature gap between the latest L dwarfs currently known, with no methane absorption bands in the 1-2.5 µm range, and the previously known methane (T) dwarfs, whose spectra are dominated by methane and water. The newly discovered objects were detected as very red objects in the Sloan Digital Sky Survey imaging data and have JHK colors between the red L dwarfs and the blue Gl 229B-like T dwarfs. They show both CO and CH(4) absorption in their near-infrared spectra in addition to H(2)O, with weaker CH(4) absorption features in the H and K bands than those in all other methane dwarfs reported to date. Due to the presence of CH(4) in these bands, we propose that these objects are early T dwarfs. The three form part of the brown dwarf spectral sequence and fill in the large gap in the overall spectral sequence from the hottest main-sequence stars to the coolest methane dwarfs currently known.