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We report the growth of high-quality c-axis-oriented epitaxial MgB2 thin films by using a pulsed laser deposition technique. The thin films grown on (1`1 0 2) Al2O3 substrates show a Tc of 39 K. The critical current density in zero field is ~ 6 x 10^6 A/cm2 at 5 K and ~ 3 x 10^5 A/cm^2 at 35 K, suggesting that this compound has great potential for electronic device applications, such as microwave devices and superconducting quantum interference devices. For the films deposited on Al2O3, X-ray diffraction patterns indicate a highly c-axis-oriented crystal structure perpendicular to the substrate surface.