In France, it was called "La Grande Guerre", "The Great War".

This was due to the fact that it was the largest scale war the world had ever known. The fact that it was called "La Grande Guerre" can also be supported by "La Der des Der", a common expression to describe the Great War in France, which can be translated to "The Last of the Last" (Der is the prefix of Dernier, which means last in french)
Indeed, the hope was that The Great War would be the last war of such a scale.