First of all, the Jews couldn't say Yahweh's name for fear of death (see Life of Brian). The high priest would say it once a year on a certain feast day (they really knew how to party then, huh?) but then they stopped that custom.
Then, when it came time to translate the name into Greek for the Christians, the scribes ran into a some real trouble and plain bad luck. First of all, the Hebrew alphabet doesn't have vowels. The Greek alphabet didn't have the sounds y (or j), h or w. None of them! Meanwhile, any scribe who tried to render it correctly was in danger of being burned at the stake. They hit upon translating YHWH as "the Lord," which is the way you find it in the King James Bible. So, when Christians say, "Jesus is the Lord," they're committing heresy saying Jesus is Yahweh!
"Jehovah" was a late, muddled, attempt to try to reconstruct the word "Yahweh," but there's really no way it was pronounced that way. In fact, we have no way of knowing how YHWH was pronounced.
Elohim and El Shaddai are embarrassments for monotheists, because, first, Ehohim is plural and means "Children of El." El was the chief god of a Mesopotamian pantheon. This indicates Yahweh's origins were in that pagan pantheon, along with his brother and arch-enemy Ba-El (Baal, remember him?) El Shaddai, is similarly a god in that Pantheon, and probably Yahweh's original name before he was groomed by new believers to be the only God. BTW, the names of the archangels, Micha-el, Raha-el, Asra-el, are all minor deities in that same pantheon.
As for Adonai, I just don't remember. Jesus came later and he was melded into the Trinity, which came even later. He's not to be confused with God the Father, The Lord, Yahweh/Jehovah.
Update: I see now, I lot of this is redundant. Oh, well. Hope it helps.
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