What is it called when a solid changes directly into a gas?

Sublimation is the transition of a substance directly from the solid to the gas state, without passing through the liquid state.

At normal pressures, most chemical compounds and elements possess three different states at different temperatures. In these cases, the transition from the solid to the gaseous state requires an intermediate liquid state. Sublimation is caused by the absorption of heat which provides enough energy for some molecules to overcome the attractive forces of their neighbors and escape into the vapor phase. Since the process requires additional energy, it is an endothermic change.

So, all solids that possess an appreciable vapour pressure at a certain temperature usually can sublime in air (e.g. water ice just below 0 °C). For some substances, such as carbon and arsenic, sublimation is much easier than evaporation from the melt, because the pressure of their triple point is very high, and it is difficult to obtain them as liquids.

The triple point of a substance is the temperature and pressure at which the three phases (gas, liquid, and solid) of that substance coexist in thermodynamic equilibrium.