There's plenty of answers that detail when we began referring to the wars as WWI and WWII, but the reason it's called 'The Great War' is because that is originally what it was called. The British it the Great War and the French called it La Grande Guerre; it was only the Germans that dubbed it Der Weltkrieg ('The World War'). Today WWI and the Great War are essentially used interchangeably.

Europe has never seen such atrocity on a grand scale in the recent time, with the exception of the Napoleonic Wars. People in that saw that war as the "war to end all wars." Why? This is a terrible war fought with frightening weapons with aging tactics. Human wave attacks were seen as common. People were killed at a frightening rate with new and terrifying weapons. For example, at the Battle of Somme, over 1.1 million soldiers were killed. That's a staggering amount of human casualties for little ground which might be lost anyways. In all, the European people called WWI the Great War because it was terrifying. Many did not believe that another war like this would happen again.