Hebrew uses several words for God (see writeup for each one separately for my unbased etymological speculations). The Bible (Old Testament, naturally) starts off by using Elohim, then switches to YHWH (the combined form, "YHWH Elohim", is used in between, and might be considered a third form).

Note that the Lord's name may not be taken in vain; this was interpreted as meaning one should not utter the "exact name" YHWH. The Monty Python sketch about not saying "Jehovah" (a possible pronunciation of YHWH), is historically accurate in this regard. Instead, the form Adonai ("the Lord") was used as the pronunciation of YHWH! Today, "Adonai" is used to say YHWH out loud.

But obviously any word used to describe God acquired holiness, and eventually cannot be taken in vain. So religious Jews will avoid saying "Adonai" (when used to refer to God; it's perfectly OK to use for one's mortal masters) in ordinary speech, reserving it for blessings, prayer, and (formal) reading of the Bible. Instead, they'll use ha-shem ("the Name"). This word, when used to refer to God, is not spelled out either, but abbreviated to its first letter he'. And lately there is a trend to avoid writing that out in vain, and use the previous letter of the alphabet instead -- daleth'.