Not "On the Rocks"

Although straight is used, that can also simply mean unmixed with anything else, but it can be chilled with ice.

The unambiguous word would be neat, meaning no ice and no other drinks mixed in.

See also this cocktails.about.com link for a short explanation:

Neat typically refers to a undiluted shot of liquor served at room temperature.

Up or Straight Up is usually used to describe a drink that is chilled with ice (shaken or stirred) and strained into a glass (typically a cocktail glass).

Straight is where things get really confusing because drinkers use it in two different ways. Some use [it] when they order a straight pour of darker spirits (e.g. bourbon straight, which would mean neat) while some use it to mean a white spirit chilled and served in a cocktail glass (e.g. vodka chilled, which would mean up).

Well, the classics are straight in its sense of (from the online Merriam-Webster):

free from extraneous matter : unmixed <straight whiskey>

and neat, defined by the same source as

free from admixture or dilution : straight <neat brandy>

Neither is particularly colloquial but both are perfectly common, idiomatic English.