According to the Pluralism Project, an individual with no religion is most commonly called "atheist," "agnostic" or "spiritual." The one that is appropriate depends on the specific philosophy and beliefs of the individual in question.
"Atheist" is probably the most commonly known term for someone without a religion; however, the word refers to someone who specifically does not believe in a god or a higher power, so while nearly all atheists have no religion, not all people without a religion are atheists. "Agnostic" refers to someone who believes it is impossible to know whether or not there is a god, and although its strict definition can apply to a religious individual, it is most commonly used to refer to someone with no religion. "Spiritual" is a newer term, and it is sometimes used to refer to someone who has spiritual beliefs without affiliation to organized religion.