The neutralino is a candidate for the non-baryonic dark matter particle. Supersymmetry, a hypothetical symmetry relating bosons to fermions, predicts the existence of hitherto undetected partners for each type of particle in the Standard Model of particle physics. Under certain assumptions, the lightest such partner particle would be stable, and if it is neutral (a "neutralino"), it would make a good dark matter candidate. Reasonable neutralino masses range from 30 GeV to 10 TeV. If they make up the dark matter of the Milky Way Galaxy then they have nonrelativistic velocities and hence their annihilation would give rise to gamma rays with unique energies. Experiments are underway to directly detect halo neutralinos via their scattering with nuclei (and deposition of energy) in underground detectors.