The Bible refers to the Lord in many different ways, which from the text seem indistinguishable and interchangeable. Understood in the internal sense, though, there are important differences.
To some degree, the meanings all start with "Jehovah," which is the Lord's actual name. It represents the perfect, eternal, infinite love which is the Lord's actual essence, what He actually "is." As such it also represents the good will that flows from the Lord to us, His desire for us to be good and the urgings toward good that go with it. "God," meanwhile, represents the wisdom of the Lord and the true knowledge and true understanding He offers to us, the forms in which He expresses himself. Other, less common terms are discussed under their own entries.
The term "the Lord" is very close in meaning to "Jehovah," and in many cases is interchangeable (indeed, translators have a tendency to go back and forth). When the two are used together, though, "the Lord" refers to the power of the Lord's goodness, the force it brings, where "Jehovah" represents the goodness itself.
In the New Testament, the name "Jehovah" is never used; the term "the Lord" replaces it completely. Swedenborg offers two reasons for that. First, the Jews of the day considered the name "Jehovah" too holy to speak or write. Second, they would not have been able to grasp the idea that the Lord – who was among them in human form at the time – was in fact Jehovah Himself.
This does ultimately lead to a difference in the two terms by the end of the Bible. Thought of as "Jehovah," the Lord is the ultimate human form and has the potential for assuming a physical human body; thought of as "the Lord" He actually has that human body, rendered divine by the events of his physical life. That's how we know Him in this day and age, which is why we primarily use the term "the Lord" on this website.
Arcana Coelestia 2921, 4973; True Christian Religion 81)