The recent discovery of superconductivity in iron-arsenic compounds below a transition temperature (Tc) as high as 55K ended the monopoly of copper oxides (cuprates) in the family of high-Tc superconductors. A critical issue in understanding this new superconductor, as in the case of cuprates, is the nature, in particular the symmetry and orbital dependence, of the superconducting gap. There are conflicting experimental results, mostly from indirect measurements of the low energy excitation gap, ranging from one gap to two gaps, from line nodes to nodeless gap function in momentum space. Here we report a direct observation of the superconducting gap, including its momentum, temperature, and Fermi surface (FS) dependence in Ba0.6K0.4Fe2As2 (Tc = 37 K) using angle-resolved photoelectron spectroscopy. We find two superconducting gaps with different values: a large gap (~ 12 meV) on the two small hole-like and electron-like FS sheets, and a small gap (~ 6 meV) on the large hole-like FS. Both gaps, closing simultaneously at the bulk Tc, are nodeless and nearly isotropic around their respective FS sheets. The isotropic pairing interactions are strongly orbital dependent, as the ratio 2Delta/kBTc switches from weak to strong coupling on different bands. The same and surprisingly large superconducting gap due to strong pairing on the two small FS, which are connected by the (pi, 0) spin-density-wave vector in the parent compound, strongly suggests that the pairing mechanism originates from the inter-band interactions between these two nested FS sheets.