The anisotropy gamma of the superconducting state of high quality single crystals of MgB2 was determined, using torque magnetometry with two different methods. The anisotropy of the upper critical field was found to be temperature dependent, decreasing from gamma approximately 6 at 15 K to 2.8 at 35 K. Reversible torque data near T(c) reveal a field dependent anisotropy, increasing nearly linearly from gamma approximately equal to 2 in zero field to 3.7 in 10 kOe. The unusual temperature dependence is a true bulk property and can be explained by nonlocal effects of anisotropic pairing and/or the k--> dependence of the effective mass tensor.