Jehovah is one english translation of the hebrew name for the creator god. In hebrew the name is יהוה. Another english translation is Yahweh. The names of these hebrew letters are י yod ה heh ו vav ה heh; yod being pronounced similar to a j sound, heh being pronounced similar to an h sound, and vav being pronounced similar to either a v or w sound depending on who you talk to.
In various english bibles the hebrew name of the creator god is typically translated to "Jehovah", or "The LORD" (in small capitals). Due to both the hebrew old testament and greek new testament using the term "lord" to refer to various people, some people have a misunderstanding that anywhere the word "lord" (all lowercase letters) appears in the english text that it refers to Jehovah, particularily in the new testament when the word lord is used in reference to Jesus whom some believe was Jehovah incarnated.
Jeremiah 16:21 Therefore, behold, I will cause them to know, this once will I cause them to know My hand and My might; and they shall know that My name is the LORD. http://www.mechon-mamre.org/p/pt/pt1116.htm
Another term which Jehovah uses for himself is אהיה אשר אהיה which is translated to "I AM that I AM"
Exodus 3:13,14 13 And Moses said unto God: 'Behold, when I come unto the children of Israel, and shall say unto them: The God of your fathers hath sent me unto you; and they shall say to me: What is His name? what shall I say unto them?' 14 And God said unto Moses: 'I AM THAT I AM'; and He said: 'Thus shalt thou say unto the children of Israel: I AM hath sent me unto you.' http://www.mechon-mamre.org/p/pt/pt0203.htm
Twice Jesus says of himself "εγω ειμι", or in english "εγω: I, me, my" and "ειμι: to be, to exist, to happen, to be present" (aka, I am); once when he told the pharasees that he (Jesus) is greater than their father Abraham, and once when he replies to the roman soldiers who came to arrest him in the garden of gethsemane. Because of this some believe that Jesus was calling himself Jehovah.
John 8:58 - Jesus said to them, "Truly, truly, I say to you, before Abraham was, I am." John 18:5 - They answered him, "Jesus of Nazareth." Jesus said to them, "I am."
However, the greek term "εγω ειμι" is used to denote as we would say in english "I am he" or "I am that one", as Peter shows in Acts 10:21 when some men show up at his doorstep looking for him and he tells them he is the one they are looking for.
21 And Peter went down to the men and said, "I am the one you are looking for; what is the reason for your coming?"