Three-dimensional (3D) topological Weyl semimetals (TWSs) represent a novel state of quantum matter with unusual electronic structures that resemble both a 3D graphene and a topological insulator by possessing pairs of Weyl points (through which the electronic bands disperse linearly along all three momentum directions) connected by topological surface states, forming the unique Fermi-arc type Fermi-surface (FS). Each Weyl point is chiral and contains half of the degrees of freedom of a Dirac point, and can be viewed as a magnetic monopole in the momentum space. Here, by performing angle-resolved photoemission spectroscopy on non-centrosymmetric compound TaAs, we observed its complete band structures including the unique Fermi-arc FS and linear bulk band dispersion across the Weyl points, in excellent agreement with the theoretical calculations. This discovery not only confirms TaAs as the first 3D TWS, but also provides an ideal platform for realizing exotic physical phenomena (e.g. negative magnetoresistance, chiral magnetic effects and quantum anomalous Hall effect) which may also lead to novel future applications.