The King James Version generally uses the words LORD, Lord, and lord to distinguish among several Hebrew words. Hebrew, of course, does not distinguish between small case and capital letters.
When written in all caps, LORD stands in for the Tetragrammaton YHWH, יְהוִה, pronounced Yahweh by some, and Jehovah by others. For instance, we read “in the day that the LORD God made the earth and the heavens” (Genesis 2:4b). LORD God, in this instance, appears as YHWH Elohim, יְהוָה אֱלֹהִים. The word Jehovah only appears four times in the Old Testament of the KJV, such as in Isaiah 12:3, where it is translated as LORD Jehovah, and in Hebrew we find יָה יְהוָה, Yah Yahweh, or Yah Jehovah.
When the word lord is all lower case, it stands for the Hebrew אֲדֹנָי, adonai, meaning lord. This is a title of respect. In 1 Kings 3:17a, for instance, it is used when referring to King Solomon: “And the one woman said, O my lord, &c.” The Hebrew is rendered as אֲדֹנִי, adonai. When this title of respect is used for addressing YHWH, then adonai or אֲדֹנִי, is translated as Lord, with the first letter capitalized. In Isaiah 19:4b we have: “and a fierce king shall rule over them, saith the Lord.” The word Lord is capitalized as it stands in for YHWH, as a title of respect for Him. In Hebrew it appears as HA-ADON, הָאָדוֹן, or the Lord.
Isaiah 19:4 is interesting indeed, as all three examples are in one verse: “And the Egyptians will I give over into the hand of a cruel lord; and a fierce king shall rule over them, saith the Lord, the LORD of hosts.” The first lord is in all lower case and refers to the cruel Egyptian lords, the second Lord refers to YHWH by the title of honor, and the third instance, in all caps, LORD replaces the word YHWH (I have increased the font size of these words):
וְסִכַּרְתִּי אֶת־מִצְרַיִם בְּיַד אֲדֹנִים קָשֶׁה וּמֶלֶךְ עַז יִמְשָׁל־בָּם נְאֻם הָאָדוֹן יְהוָה צְבָאוֹת ׃
The King James Version is, in my opinion, by far the best English translation of the Holy Scriptures. It is quite literal, preserving much of the Hebrew idioms, and also preserving many of the Messianic allusions that modern translations have removed. The words YHWH and Elohim appear numerous times in almost every page of the Biblia Hebraica or Hebrew Holy Scriptures. In order to avoid the frequent use of sacred names, the KJV has followed a long tradition of substituting the words YHWH and Elohim for LORD and God, respectively. But in doing so, at times the KJV gives us an erroneous translation. For instance, we have אֲדֹנָי יְהוִה, Lord LORD, Lord Jehovah, or Adonai YHWH in Deuteronomy 9:26. But it is incorrectly rendered in the KJV as Lord God. The expression Lord God was used by the Bishops 1568 and the Geneva 1587 translations. And after the KJV, most translations have done the same, including the JPS (Jewish Publication Society).
Some translations who have correctly used Lord Jehovah include the ASV, LITV and YLT. In addition, Lord Jehovah or rather the Spanish equivalent, Señor Jehová, has been used by the majority of Spanish translations, including the RV1865, RV1960, RV1995, RV2009 (LDS), and SRV.