We investigate the intermittency of anisotropic magnetohydrodynamic (MHD) turbulence in high-speed solar wind. Using the data recorded by the Ulysses spacecraft, we apply the Castaing function to model the probability density functions of the fluctuating magnetic field and calculate the magnetic structure functions (SFs) S-p of the order p in the coordinates (r, Theta), with r being the length scale and Theta the direction of the local mean field. The scaling exponent zeta, from S-p(r, Theta) alpha r(zeta(p, Theta)), has an anomalous nonlinear dependence on p, implying the intermittent scaling of solar wind turbulence, which has been observed for decades. Furthermore, we study the anisotropy of solar wind turbulence introduced by the strong mean magnetic field. From S-p(Theta = 0) alpha S-p(Theta = pi/2), we obtain r perpendicular to alpha r(parallel to)(alpha p) with alpha(p) = zeta(parallel to)/zeta(perpendicular to) denoting the perpendicular-parallel spatial correlation of the moment of the pth order. For the magnetic field difference dB, we find alpha(2) = 1.78 +/- 0.26, consistent with recent theories and observations. However, when the contribution from the intermittent fluctuations begins to dominate the scaling, alpha is not a constant but increases with p, e.g., alpha(5) = 1.97 +/- 0.41 and alpha(8) approximate to 2.42 +/- 0.64. This complication of the perpendicular-parallel spatial correlation due to the intermittency raises new questions for MHD turbulence theory.