The word "hallelujah" means "Praise the Lord". It is actually derived from the Hebrew words "halal" -- which means to shine, or to praise -- and "Jah" -- or "Yah" -- which is a shortened form of Jehovah. Here is an example verse where "halah yah" is used in the Scriptures:
"Praise ye the LORD. Praise, O ye servants of the LORD, praise the name of the LORD."
Psalms 113:1, KJV
You may also want to look up Jehovah