The defining attribute of a diluted magnetic semiconductor (DMS) is the existence of dopant-carrier magnetic exchange interactions. In this letter, we report the first direct observation of such exchange interactions in colloidal doped CdSe nanocrystals. Doped CdSe quantum dots were synthesized by thermal decomposition of (Me4N)2[Cd4(SePh)10] in the presence of TMCl2 (TM2+ = Mn2+ or Co2+) in hexadecylamine and were characterized by several analytical and spectroscopic techniques. Using magnetic circular dichroism spectroscopy, successful doping and the existence of giant excitonic Zeeman splittings in both Mn2+- and Co2+-doped wurtzite CdSe quantum dots are demonstrated unambiguously.