Excitons in semiconductors may form correlated phases at low temperatures. We report the observation of an exciton liquid in gallium arsenide/aluminum gallium arsenide-coupled quantum wells. Above a critical density and below a critical temperature, the photogenerated electrons and holes separate into two phases: an electron-hole plasma and an exciton liquid, with a clear sharp boundary between them. The two phases are characterized by distinct photoluminescence spectra and by different electrical conductance. The liquid phase is formed by the repulsive interaction between the dipolar excitons and exhibits a short-range order, which is manifested in the photoluminescence line shape.