Two-dimensional (2D) transition metal dichalcogenides (TMDs) are emerging as a new platform for exploring 2D semiconductor physics. Reduced screening in two dimensions results in markedly enhanced electron-electron interactions, which have been predicted to generate giant bandgap renormalization and excitonic effects. Here we present a rigorous experimental observation of extraordinarily large exciton binding energy in a 2D semiconducting TMD. We determine the single-particle electronic bandgap of single-layer MoSe2 by means of scanning tunnelling spectroscopy (STS), as well as the two-particle exciton transition energy using photoluminescence (PL) spectroscopy. These yield an exciton binding energy of 0.55 eV for monolayer MoSe2 on graphene—orders of magnitude larger than what is seen in conventional 3D semiconductors and significantly higher than what we see for MoSe2 monolayers in more highly screening environments. This finding is corroborated by our ab initio GW and Bethe-Salpeter equation calculations which include electron correlation effects. The renormalized bandgap and large exciton binding observed here will have a profound impact on electronic and optoelectronic device technologies based on single-layer semiconducting TMDs.