What is this thing called
That's a


rheostat 


or


potentiometer


but you can also just call it a variable resistor.

What term is more commonly used depends on the country you're in and/or what is common in certain fields of electronics. In low power electronics we tend to use potentiometer or potmeter. In power electronics Rheostat is more common. Your's is a more of a high-power device to I'd call it a rheostat.