Cryogenic scanning tunneling microscopy and magnetization measurements were used to study the superconducting properties of MgB_2. The magnetization measurements show a sharp superconductor transition onset at T_c = 38.5 K, in agreement with previous works. The tunneling spectra exhibit BCS gap structures, with gap parameters in the range of 5 to 7 meV, yielding a ratio of 2delat/KT_c ~ 3-4. This suggests that MgB_2 is a conventional BCS (s-wave) superconductor, either in the weak-coupling or in the `intermediate-coupling` regime