Called the Tetragrammaton (four letters), this is the personal name of the Biblical deity. In Hebrew, these four letters are Yod, He, Vav or Waw, and He (most Bibles show the Hebrew alphabet in Psalm 119). Most Hebrew scholars give YaHWeH as the correct pronunciation.
In the Masoretic Hebrew Text of the Old Testament, YHWH (properly YaHWeH) usually has the vowels for Adonai ("Lord") inserted, producing YeHoWaH. This codified form was not meant to be pronounced as is, rather it means "think Yahweh, say Adonai". This was done based on the idea of Rabbinic Judaism that it is better not to say "Yahweh" at all rather than to take a chance on saying it in vain.
Some Christians who were unaware of this, pronounced the codified form as is. YeHoWaH evolved over time into IeHoUaH and finally JeHoVaH.