Memristors are passive circuit elements which behave as resistors with memory. The recent experimental realization of a memristor has triggered interest in this concept and its possible applications. Here, we demonstrate memristive response in a thin film of Vanadium Dioxide. This behavior is driven by the insulator-to-metal phase transition typical of this oxide. We discuss several potential applications of our device, including high density information storage. Most importantly, our results demonstrate the potential for a new realization of memristive systems based on phase transition phenomena