Snapping shrimp produce a snapping sound by an extremely rapid closure of their snapper claw. Our high speed imaging of the claw closure has revealed that the sound is generated by the collapse of a cavitation bubble formed in a fast flowing water jet forced out from the claws during claw closure. The produced sound originates from the cavitation collapse of the bubble. A model based on the Rayleigh-Plesset equation can quantitatively account for the visual and acoustical observations.