Dry ice is pure, solid carbon dioxide (CO2). As a gas, CO2 exists naturally in our environment. It's called "dry ice" because it does not melt. Dry ice goes directly from a solid to a gas in a process called sublimation.
Dry ice keeps items colder for much longer than traditional 'wet ice' because dry ice is extremely cold, -109 degrees F (-78.5° C). Dry ice sublimates into carbon dioxide gas instead of melting, leaving no liquid mess to clean up. Dry ice is made from pure carbon dioxide that is a (recycled) byproduct of other industrial processes such as the manufacture of ethanol.
Dry ice is much colder than regular ice, and can burn the skin similar to frostbite.