NGC 4395 is a bulgeless spiral galaxy, harboring one of the nearest known type 1 Seyfert nuclei. Although there is no consensus on the mass of its central engine, several estimates suggest it is one of the lightest massive black holes (MBHs) known. We present the first direct dynamical measurement of the mass of this MBH from a combination of two-dimensional gas kinematic data, obtained with the adaptive optics assisted near-infrared integral field spectrograph Gemini/NIFS and high-resolution multiband photometric data from Hubble Space Telescope's Wide Field Camera 3. We use the photometric data to model the shape and stellar mass-to-light ratio of the nuclear star cluster (NSC). From the Gemini/NIFS observations, we derive the kinematics of warm molecular hydrogen gas as traced by emission through the H2 1-0 S(1) transition. These kinematics show a clear rotational signal, with a position angle orthogonal to NGC 4395's radio jet. Our best-fitting tilted ring models of the kinematics of the molecular hydrogen gas contain a black hole with mass M = 4+8-3 × 105 Mo (3σ uncertainties) embedded in an NSC of mass M = 2 × 106 Mo. Our black hole mass measurement is in excellent agreement with the reverberation mapping mass estimate of Peterson et al. but shows some tension with other mass measurement methods based on accretion signals.