A little elaboration on Ground Zero's excellent write up. Above, Ground Zero explains that Hebrew texts had the letters YHWH, the word Adonai, and Jehovah. All this can be a bit ambiguous without some explanation.
Ancient Hebrew texts were written on parchment. Parchment was very expensive, so to conserve space the writing was jammed all together, allowing no space between words. Scrolls would be a jumble of letters from top to bottom. To conserve even more space the writers left out vowels.
The point of these texts were to be read, and more to the point, read aloud to teach. Those who could read would decipher the list of consonants into words, with one exception: the Hebrew word for God. Yahweh could be written as YWHW, but could never be spoken. People of the Jewish faith hold the name of God in very high esteem. So as not to disrespect the Almighty, when Hebrew men would read they say "Adonai," the Hebrew word for Lord, rather than the Hebrew word for God.
As time went on, Jewish scholars forgot what some of the words in the texts were. This is easy to imagine since they were missing vowels and the words were all jammed together. To fix this the Jews started inserting the vowels real small between the appropriate letters. When they came to YHWH they wrote in the vowels for Adonai as a reminder to not say Yahweh. What was written was YeHoWaH.
Since the Latin language has no Y (it is a J) or W (it is a V), the writting came out Jehovah. You probably recognize Jehovah as Jehovah's Witnesses. This is precisely how their denomination began. The founder decided to find the name of God and mistakenly discovered Jehovah*. That's how that came about.
For more information on this whole business, please visit www.jewfaq.org, or you can ask a Leader of the Jewish faith, or a well-versed leader of the Christian faith.
* 2002.11.15@23:18 wertperch says re YHWH: "The founder decided to find the name of God and mistakenly discovered Jehovah." - wrong. As an ex-JW I can tell you that the Name appears in the King James Bible, at a verse I will dig out shortly. You're right about the rest though.
2002.11.15@23:20 wertperch says re YHWH: Psalms 83:18
Sorry wertperch for my error, I apologize. Being Roman Catholic I don't have a King James Bible. I can only guess that the translation of the Bible carried Jehovah with it. The original Hebrew does not use such a word.