CO2 has a rather unique quality that I find fascinating. It's called "sublimation". At room temperature and far below, CO2 goes from a solid to a gas without a liquid stage. This is very different from water, which is ice, water and steam. CO2 is invisible, so you don't get steam when it sublimates.
There is a liquid state for CO2. This exists between -78C (-108F) and -57C (-71F). At higher pressures, the liquid state can exist at higher temperatures. At 0F (-18C) and 300 psi, CO2 can be kept as a liquid. This is far more pressure than our atmosphere has (that is between 14 and 15 psi).
The solid state of CO2 is called "dry ice". It's used for keeping things cold when regular refrigeration is not available, such as coolers you take when camping or mailing frozen items. You should not touch dry ice with your bare hand--it can cause frostbite in a few seconds. If you hold it too long, you can get severe frostbite with blisters. However, if you handle it with thick gloves and not for very long, it's safe.
Now for what sublimation looks like:
The mist coming off the dry ice is not CO2 (remember, no steam like water). It's the very cold sublimating CO2 gas cooling the air around the remaining dry ice and forming water vapor. This effect is used to make mist for concerts and other presentations.
Watching a frozen piece of dry ice just "disappear" without any liquid is quite fun thing to watch. It shows us one of the more unique physical reactions we have on earth.