In Exodus 6:2-3, God reveals his name to Moses for the first time. That name is YHWH (or JHWH to German-speaking scholars, who also pronounce the W in the German way). The Hebrew alphabet does not have separate small and capital letters. Generally speaking only the consonants are written and people fill in the vowels for themselves as they read.
Elsewhere in the Old Testament (e.g. Genesis 32:29, when Jacob wrestles with him), God is reluctant to reveal his name. For that reason the Jews came to regard the name too holy to pronounce, and still do to this day. Whenever they see the letters YHWH in the Bible they say ADONAI, which means "Lord". The translators of the King James Version followed this custom, using capital letters when the Hebrew text had YHWH and "Lord" when other Hebrew words were used (or Greek in the New Testament). Many modern Bible translations have followed suit.
Incidentally, if you add the vowels of Adonai to the consonants of JHVH, you sort of end up with Jehova, a word coined by people who did not understand this Hebrew custom. It does not exist as a Hebrew word and is actually quite meaningless. Something to try out on the JWs next time they come calling....
Peter Potter