We characterize the Mott insulating regime of a repulsively interacting Fermi gas of ultracold atoms in a three-dimensional optical lattice. We use in situ imaging to extract the central density of the gas and to determine its local compressibility. For intermediate to strong interactions, we observe the emergence of a plateau in the density as a function of atom number, and a reduction of the compressibility at a density of one atom per site, indicating the formation of a Mott insulator. Comparisons to state-of-the-art numerical simulations of the Hubbard model over a wide range of interactions reveal that the temperature of the gas is of the order of, or below, the tunneling energy scale. Our results hold great promise for the exploration of many-body phenomena with ultracold atoms, where the local compressibility can be a useful tool to detect signatures of different phases or phase boundaries at specific values of the filling.