We discuss the physical properties and the baryonic content of the Warm-Hot Intergalactic Medium (WHIM) at low redshifts. Cosmological simulations predict that the WHIM contains a large fraction of the baryons at $z=0$ in the form of highly-ionised gas at temperatures between $10^5$ and $10^7$ K. Using high-resolution ultraviolet spectra obtained with the Space Telescope Imaging Spectrograph (STIS) and the Far Ultraviolet Spectroscopic Explorer (FUSE) we have studied the WHIM at low redshifts by searching for intervening O VI and thermally broadened Lyman $\alpha$ (BLA) absorption toward a number of quasars and active galactic nuclei (AGNs). Our measurements imply cosmological mass densities of $\Omega_b$(O VI)$\geq0.0022 h_{75}^{-1}$ and $\Omega_{b}$(BLA)$\geq0.0035\,h_{75}^{-1}$. Our results suggest that the WHIM at low $z$ contains more baryonic mass than stars and gas in galaxies.