How to convert a vector or direction from camera space to world space?

So I know you can use WorldToScreenPoint and ScreenToWorldPoint to convert a point between world and screen space, but what if you want to convert a vector? For example if I move the mouse from the left side of the screen to the right, how would I determine that direction in world space?

 

By subtracting the world point of the mouse in its first location from the world point the next frame.

EDIT: I think Praetor and I have given two completely different answers based on our interpreting your question completely differently.

 

Code (CSharp):

1. Vector2 screenDir = Input.mousePosition - previousMousePosition;
2.  
3. Vector3 worldDir = myCamera.transform.TransformDirection(screenDir);

 

Interesting, I think both of these should work! Thanks ya'll, I think I was trying to overcomplicate it by getting matrix transformations involved...

 

As is tradition.