We report the growth and properties of epitaxial MgB2 thin films on (0001) Al2O3 substrates. The MgB2 thin films were prepared by depositing boron films via RF magnetron sputtering, followed by a post-deposition anneal at 850C in magnesium vapor. X-ray diffraction and cross-sectional TEM reveal that the epitaxial MgB2 films are oriented with their c-axis normal to the (0001) Al2O3 substrate and a 30 degree rotation in the ab-plane with respect to the substrate. The critical temperature was found to be 35 K and the anisotropy ratio, Hc2(parallel to the film) / Hc2(pendicular to the film), about 3 at 25K. The critical current densities at 4.2 K and 20 K (at 1 T perpendicular magnetic field) are 5x10E6 A/cm2 and 1x10E6 A/cm2, respectively. The controlled growth of epitaxial MgB2 thin films opens a new avenue in both understanding superconductivity in MgB2 and technological applications.