Sublimation is the process by which a solid transforms into a gas without passing through the liquid stage. It occurs when the particles of a solid absorb enough energy to completely overcome the force of attraction between them. At normal atmospheric pressure on the surface of the Earth, only some compounds like 'dry ice' (solid carbon dioxide) can go through this process. Most substances can only sublimate at lower pressure. Many can sublimate in space.
Sometimes snow undergoes sublimation as well. This is most likely to occur on sunny winter days when the air is very dry. Snow may look like it disappears on a cold sunny day, but this is not sublimation because it forms a thin layer of liquid water first.
A better example is CO2, which changes from Dry ice, a solid to a gas without being a liquid. Also diamond, graphite, iodine, ammonium chloride and aluminium chloride sublime rather than melt at atmospheric pressure.