The Hebrew word יהוה (English: Jehovah) means "the existing One".
When Moses asked God his name, God replied: I AM THAT I AM . The Name "I Am" (הוה) is the last three letters of the Hebrew word for "the existing One", and is the present tense of the Hebrew language. The Name "I Am" and "the existing One" are names of God that refer to his glory before the world began, and to his continuing glory and supreme dominion.
In the New Testament, a great light appeared to Paul the Apostle, and a voice said: "I am Jesus of Nazareth, whom thou persecutest". Jesus also said of himself: "before Abraham was, I am."
Use of the word יהוה in the Bible
The Hebrew word יהוה occurs 5,527 times in the Old Testament, and is most often written LORD (all capital letters) in the English Old Testament, and as Jehovah and JEHOVAH only 5 times. The first and last occurence of the word LORD in the Old Testament are:
The Greek word translated "Lord" in the English New Testament is "Kurius", and its meaning may be in reference to Jehovah or Adonai. Adonai is also translated "Lord" (small capital letters) in the English Old Testament. The word Kurius occurs 687 times in the New testament, and the first and last occurences of this word are:
Pronounciation and Transcription
This Name of God is considered Holy by the Jews, and therefore is never spoken. Instead of adding vowels to the Hebrew consonants yod (י), he (ה), vav (ו), and he (ה) - Hebrew is written from right to left, while English is written from left to right - most Jews will pronounce "adonay" (my Lord) or "hashem" (the Name) when confronted with this word.
William Tyndale (d.1536) included the vowels for the word "adonay" with the consonants to the word "yhvh" in his English translation of the Old Testament, creating the basis for the English word 'Jehovah'. Tyndale's translation is similar to pronouncing "adonay" or "hashem" as the pronouciation does not mirror the original Hebrew. If vowels were added to the Hebrew name of God, it would probably be pronounced as Yah-veh or Yah-weh. 
Names of Jehovah in the Old Testament