The Tetragrammaton (a Greek word meaning "four letters") is YHWH, the holy name of God. Jews considered God's name too holy to be spoken. To prevent breaking the third command by taking God's name in vain, they refused to speak it out loud.
To prevent Hebrew readers from slipping in public, and accidentally pronouncing the name, vowels of the word adonai (Lord) were superimposed on the consonants YHWH, thereby creating a word that was not a part of standard vocabulary. Our word "Jehovah" was an effort to translate this vowel/consonant combination. We now know Yahweh is the proper pronunciation.
Out of respect to Jewish sensitivity, English Bibles have usually not used the name of God. Instead, they use the word "Lord", with the O R and D being capital letters smaller than the capital L. This occurs over 5000 times in the Hebrew Bible. For instance, Psalm 23 begins in the Hebrew with YHWH, but we say "The Lord". If you look at the verse in the KJV and most modern translations, you see the smaller capital letters.