The Hall effect usually occurs when the Lorentz force acts on a charge current in a conductor in the presence of perpendicular magnetic field. On the other hand, neutral quasi-particles such as phonons and spins can carry heat current and potentially show the Hall effect without resorting to the Lorentz force. We report experimental evidence for the anomalous thermal Hall effect caused by spin excitations (magnons) in an insulating ferromagnet with a pyrochlore lattice structure. Our theoretical analysis indicates that the propagation of the spin wave is influenced by the Dzyaloshinskii-Moriya spin-orbit interaction, which plays the role of the vector potential as in the intrinsic anomalous Hall effect in metallic ferromagnets.