We observe the formation of an intense optical wave packet fully localized in all dimensions, i.e., both longitudinally (in time) and in the transverse plane, with an extension of a few tens of fsec and microns, respectively. Our measurements show that the self-trapped wave is an X-shaped light bullet spontaneously generated from a standard laser wave packet via the nonlinear material response (i.e., second-harmonic generation), which extend the soliton concept to a new realm, where the main hump coexists with conical tails which reflect the symmetry of linear dispersion relationship.