We present the initial results of multi-epoch VLBI observations of the 22 GHz H2O masers in the Orion KL region with VERA (VLBI Exploration of Radio Astrometry). With the VERA dual-beam receiving system, we have carried out phase-referencing VLBI astrometry and successfully detected an annual parallax of Orion KL to be 2.29+/-0.10 mas, corresponding to the distance of 437+/-19 pc from the Sun. The distance to Orion KL is determined for the first time with the annual parallax method in these observations. Although this value is consistent with that of the previously reported, 480+/-80 pc, which is estimated from the statistical parallax method using proper motions and radial velocities of the H2O maser features, our new results provide the much more accurate value with an uncertainty of only 4%. In addition to the annual parallax, we have detected an absolute proper motion of the maser feature, suggesting an outflow motion powered by the radio source I along with the systematic motion of source I itself.