Second harmonic generation of single- and few-layer mechanically exfoliated tungsten diselenide (WSe2) samples are studied. The value of the effective second-order nonlinear susceptibility for monolayer WSe2 is obtained, being three orders of magnitude larger than the values usually reported for other nonlinear bulk crystals. The presence of a monolayer is certified by symmetry analysis of the Raman modes and the occurrence of a direct band gap. Our results on WSe2 solidify the family of transition metal dichalcogenides as two-dimensional systems with ultra high second-order nonlinear susceptibility.