Phosphorene is a new family member of two-dimensional materials. We observed strong and highly layer-dependent photoluminescence in few-layer phosphorene (two to five layers). The results confirmed the theoretical prediction that few-layer phosphorene has a direct and layer-sensitive band gap. We also demonstrated that few-layer phosphorene is more sensitive to temperature modulation than graphene and MoS2 in Raman scattering. The anisotropic Raman response in few-layer phosphorene has enabled us to use an optical method to quickly determine the crystalline orientation without tunneling electron microscopy or scanning tunneling microscopy. Our results provide much needed experimental information about the band structures and exciton nature in few-layer phosphorene.