The electronic structure near a single classical magnetic impurity in a superconductor is determined using a fully self-consistent Koster-Slater algorithm. Localized excited states are found within the energy gap which are half electron and half hole. Within a jellium model we find the new result that the spatial structure of the positive-frequency (electron-like) spectral weight (or local density of states), can differ strongly from that of the negative frequency (hole-like) spectral weight. The effect of the impurity on the continuum states above the energy gap is calculated with good spectral resolution for the first time. This is also the first three-dimensional self-consistent calculation for a strong magnetic impurity potential.