The name Jehovah is actually not a name for God, but a protection against saying the name of God. It is literally the name Adonai and YHWH, superimposed to prevent anyone coming across the name YHWH from saying the name. This was done sometime after the exiles, when the Jews were fearful that their scrolls would be lost and someone may come across them and accidentally say God's name. The reason that it was not acceptable to say God's name came about after the exiles when the Jews began to take a literal rendering of the commandment to not take the Lord' name in vein. In the 16th century a scholar came across the name "Jehovah" and assumed it was another name for God. You can read about this at http://www.jerusalemperspective.com/ by clicking on articles and typing "Jehovah" in the search block. You will have to get a membership to read the entire article ($60 per year and worth it), but you'll still get the gist of the article.
Here is a link to the article he refers to that you can read without subscribing to the website.
Another really good article I found regarding this "name" of God is found on the Hebrew4Christians website (which I have found very useful since I found it!) It has quite a few other names of God explained as well.
I find it so amazing what I'm finding out by digging into our Jewish Roots as Christians. My faith and relationship with the my Lord is becoming so much richer! I know different people have been worried about where this journey may lead me, but so far it has drawn me closer to Jesus and increased my desire to learn more about Him.