We present scanning tunneling microscopy and spectroscopy of the newly discovered superconductor CaC6. The tunneling conductance spectra, measured between 3 and 15 K, show a clear superconducting gap in the quasiparticle density of states. The gap function extracted from the spectra is in good agreement with the conventional BCS theory with Delta(0)=1.6 +/- 0.2 meV. The possibility of gap anisotropy and two-gap superconductivity is also discussed. In a magnetic field, direct imaging of the vortices allows us to deduce a coherence length in the ab plane xi(ab)similar or equal to 33 nm.