Acquisition of food in many animal species depends on the pursuit and capture of moving prey. Among modern humans, the pursuit and interception of moving targets plays a central role in a variety of sports, such as tennis, football, Frisbee, and baseball. Studies of target pursuit in animals, ranging from dragonflies to fish and dogs to humans, have suggested that they all use a constant bearing (CB) strategy to pursue prey or other moving targets. CB is best known as the interception strategy employed by baseball outfielders to catch ballistic fly balls. CB is a time-optimal solution to catch targets moving along a straight line, or in a predictable fashion--such as a ballistic baseball, or a piece of food sinking in water. Many animals, however, have to capture prey that may make evasive and unpredictable maneuvers. Is CB an optimum solution to pursuing erratically moving targets? Do animals faced with such erratic prey also use CB? In this paper, we address these questions by studying prey capture in an insectivorous echolocating bat. Echolocating bats rely on sonar to pursue and capture flying insects. The bat's prey may emerge from foliage for a brief time, fly in erratic three-dimensional paths before returning to cover. Bats typically take less than one second to detect, localize and capture such insects. We used high speed stereo infra-red videography to study the three dimensional flight paths of the big brown bat, Eptesicus fuscus, as it chased erratically moving insects in a dark laboratory flight room. We quantified the bat's complex pursuit trajectories using a simple delay differential equation. Our analysis of the pursuit trajectories suggests that bats use a constant absolute target direction strategy during pursuit. We show mathematically that, unlike CB, this approach minimizes the time it takes for a pursuer to intercept an unpredictably moving target. Interestingly, the bat's behavior is similar to the interception strategy implemented in some guided missiles. We suggest that the time-optimal strategy adopted by the bat is in response to the evolutionary pressures of having to capture erratic and fast moving insects.