The thermal conductivity of borocarbide superconductor LuNi_2B_2C was measured down to 70 mK (T_c/200) in a magnetic field perpendicular to the heat current from H = 0 to above H_c2 = 7 T. As soon as vortices enter the sample, the conduction at T -> 0 grows rapidly, showing unambiguously that delocalized quasiparticles are present at the lowest energies. The field dependence is very similar to that of UPt_3, a heavy-fermion superconductor with a line of nodes in the gap, and very different from the exponential dependence characteristic of s-wave superconductors. This is strong evidence for a highly anisotropic gap function in LuNi_2B_2C, possibly with nodes.