Our understanding of the properties of ferromagnetic materials, widely used in spintronic devices, is fundamentally based on their electronic band structure. However, even for the most simple elemental ferromagnets, electron correlations are prevalent, requiring descriptions of their electronic structure beyond the simple picture of independent quasi-particles. Here, we give evidence that in itinerant ferromagnets like cobalt these electron correlations are of nonlocal origin, manifested in a complex self-energy Σ_σ(E, k) that disperses as function of spin σ, energy E, and momentum vector k. Together with one-step photoemission calculations, our experiments allow us to quantify the dispersive behaviour of the complex self-energy over the whole Brillouin zone. At the same time we observe regions of anomalously large "waterfall"-like band renormalization, previously only attributed to strong electron correlations in high-T_C superconductors, making itinerant ferromagnets a paradigmatic test case for the interplay between band structure, magnetism, and many-body correlations.