Name of the cut-outs in the side of a printed dictionary at each letter
Solution 1:
Index Notches.
And here's a patent for a device to cut index notches.
Solution 2:
Wikipedia calls this a thumb index. It is also frequently used with bibles for quickly finding each book.
EDIT: To clarify, this refers to the whole set of notches. The individual notches can be called thumb tabs (as given by Chris H in the comments), index notches (as given in Davo's answer), or thumb notches.