The Swift burst GRB 110205A was a very bright burst visible in the Northern Hemisphere. GRB 110205A was intrinsically long and very energetic and it occurred in a low-density interstellar medium environment, leading to delayed afterglow emission and a clear temporal separation of the main emitting components: prompt emission, reverse shock, and forward shock. Our observations show several remarkable features of GRB 110205A: the detection of prompt optical emission strongly correlated with the Burst Alert Telescope light curve, with no temporal lag between the two; the absence of correlation of the X-ray emission compared to the optical and high-energy gamma-ray ones during the prompt phase; and a large optical re-brightening after the end of the prompt phase, that we interpret as a signature of the reverse shock. Beyond the pedagogical value offered by the excellent multi-wavelength coverage of a gamma-ray burst with temporally separated radiating components, we discuss several questions raised by our observations: the nature of the prompt optical emission and the spectral evolution of the prompt emission at high energies (from 0.5 keV to 150 keV); the origin of an X-ray flare at the beginning of the forward shock; and the modeling of the afterglow, including the reverse shock, in the framework of the classical fireball model.