We study the obstacle problem for unbounded sets in a proper metric measure space supporting a (p,p)-Poincare inequality. We prove that there exists a unique solution. We also prove that if the measure is doubling and the obstacle is continuous, then the solution is continuous, and moreover p-harmonic in the set where it does not touch the obstacle. This includes, as a special case, the solution of the Dirichlet problem for p-harmonic functions with Sobolev type boundary data.