Due to their weak coupling with the dense matter created at RHIC direct photons are a unique observable: they allow access to the initial state of the collision. By this virtue, the PHENIX discovery of a large photon excess over the meson-decay background in central Au+Au collisions at high pT confirms the final-state nature of the high-pT hadron suppression previously observed. We present a systematic study of direct photon production in p+p, d+Au, and Au+Au collisions. Direct photon measurements in p+p provide a superb test of pQCD. Comparison with d+Au permits the extraction of initial-state effects in the Au nucleus. The high-statistics Au+Au data set acquired in 2004 allows a direct photon measurement beyond pT=10 GeV/c and also at intermediate pT where thermal photons and photons from jet-plasma interactions are expected to be important. Additional information on the origin of direct photons will be gained through the measurement of direct photon elliptic flow.