At the burning bush, Moses asked God for His name. “Moses said to God, 'Suppose I go to the Israelites and say to them, "The God of your fathers has sent me to you," and they ask me, "What is his name?" ' God said to Moses, 'I AM WHO I AM...' God also said…'Say to the Israelites, "The LORD, the God of your fathers… has sent me to you. This is my name forever, the name by which I am to be remembered from generation to generation.' " (Exodus 3:13-15, NIV, Italics and bold print added) A footnote for this passage in the NIV reads: "The Hebrew for LORD sounds like and may be derived from the Hebrew for I AM in verse 14."
The traditional Hebrew text of the Bible was originally written using only consonants. The proper name of God was written in four letters, which, when changed into English, are the equivalent of YHWH. These four letter are known as the Tetragrammaton. The word LORD in verse 15 above stands for the Tetragrammaton.
At some point in time, possibly when the Israelites were captives in Babylon, the rabbis forbade anyone to speak the holy name of God. (The reason may be that the Israelites wanted to prevent the heathen from learning and desecrating God's name.) So, wherever the Tetragrammaton was written in the Bible, they would substitute Adonai, the Hebrew word for Lord, or Elohim, meaning God.
As the years went by, the original pronunciation of YHWH was lost. Most Hebrew scholars today believe the true pronunciation is "Yahweh." The form "Jehovah" was adopted during the late middle ages and was used in the Protestant Bibles. Many Bible scholars today believe "Jehovah" is likely a mispronunciation. However, since there is no definite proof, and since the name "Jehovah" is known traditionally, some Bibles today still use this form of God's name.
But whether the pronunciation of God's proper name is "Yahweh" or "Jehovah" is not something we have to spend a lot of time puzzling about. When Jesus came to redeem the human race, He continually referred to God as His "Father." When teaching his followers, He also used the concept that God was their Father in heaven. (Matt. 5:45, 48; 6:4, 14, 18, 32, etc.) He instructed His disciples to pray to God as such (Matt. 6:9)
"How great is the love the Father has lavished on us, that we should be called children of God!…" (I John 3:1)