We experimentally demonstrate the elementary case of electromagnetically induced transparency with a single atom inside an optical cavity probed by a weak field. We observe the modification of the dispersive and absorptive properties of the atom by changing the frequency of a control light field. Moreover, a strong cooling effect has been observed at two-photon resonance, increasing the storage time of our atoms twenty-fold to about 16 seconds. Our result points towards all-optical switching with single photons.