In "Big O", common notations have common names (instead of saying, "Oh of some constant factor"):

O(1) is "Constant"

O(log n) is "Logarithmic"

O(n) is "Linear"

O(n^2) is "Quadratic"

O(n * log n) is ???

Is it just "n log n" or does it have a special name like the above?

It's called linearithmic time, and is a special case of a more general class known as quasi linear.  As the name may suggests, the algorithms that fall in this class almost run in linear time; in fact they have a lower complexity than algorithms which run in $O(n^k)$ with $k > 1$.