Inelastic neutron scattering measurements on the low energy spin waves in CaFe2As2 show that the magnetic exchange interactions in the Fe layers are exceptionally large and similar to the cuprates. However, the exchange between layers is ~10% of the coupling in the layers and the magnetism is more appropriately categorized as anisotropic three-dimensional, in contrast to the two-dimensional cuprates. Band structure calculations of the spin dynamics and magnetic exchange interactions are in good agreement with the experimental data.