Well it depends what kind of gas, but Methane (or natural gas) is called just Mathane gas. Laughing gas is called Nitrous oxide. Some names of gases include hydrogen, helium, oxygen, argon, krypton, neon, nitrogen, fluorine, chlorine, xenon and radon. Gases that are compounds include carbon dioxide, carbon monoxide, methane, nitrous oxide, ozone and hydrogen sulfide. Other types of gases include vapor and steam.
Hope that helps?
