In Hebrew the name of God is spelled YHWH. Since ancient Hebrew had no written vowels, it is uncertain how the name was pronounced originally, but there are records of the name in Greek, which did have written vowels. These records indicate that in all likelihood the name should be pronounced "Yahweh."
Shortly before the first century A.D., it became common for Jews to avoid saying the divine name for fear of misusing it and breaking the second commandment ("You shall not take the name of the Lord, your God, in vain," Dt 5:11). Whenever they read Scripture aloud and encountered the divine name, they substituted another Hebrew word, "Adonai" (which means "Lord" or "my Lord"), in its place.
Eventually Hebrew developed written vowels, which appeared as small marks called vowel points and were placed above and below the consonants of a word. In the sixth or seventh century some Jews began to place the vowel points for "Adonai" over the consonants for "Yahweh" to remind the reader of Scripture to say "Adonai" whenever he read "Yahweh."
About the 13th century the term "Jehovah" appeared when Christian scholars took the consonants of "Yahweh" and pronounced it with the vowels of "Adonai." This resulted in the sound "Yahowah," which has a Latinized spelling of "Jehovah." The first recorded use of this spelling was made by a Spanish Dominican monk, Raymundus Martini, in 1270.
Interestingly, this fact is admitted in much Jehovah's Witness literature, such as their Aid to Bible Understanding (p. 885). This is surprising because Jehovah's Witnesses loathe the Catholic Church and have done everything in their power to strip their church of traces of Catholicism. Despite this, their group's very name contains a Catholic "invention," the name "Jehovah."
Jehovah's Witnesses blast orthodox Christendom for "hiding the name of God" by replacing "Jehovah" with "the Lord" whenever "Jehovah" appears in Scripture. They charge this is a Jewish "superstition" that dishonors God (which it does not). Yet their own organization has a name that was invented as a result of the same thinking that produced use of "the Lord."