pandoc dir/*.md --to html

should work.

That will print it in the terminal but how do I save each .md file as a .html file?

Use a for loop?

    for f in *.md; do
        pandoc $f --to html > $(basename -s.md $f).html
    done

EDIT to fix the adjectival basename call.

agreed, this is exactly the sort of thing for loops in shell are useful for.. incidentally, in zsh you can do this with

   for f (*.md) pandoc $f --to html > $f:r.html

personally I find that when I can fit a loop on a single line in zsh I'm much more inclined to use them