It is called the "Lord's Prayer" because it was a prayer given by Jesus Christ (ie. the "Lord") as response to a request from the Apostles for guidance on how to pray. Most Christian theologians point out that Jesus Christ would have never used this prayer himself, for it specifically asks for forgiveness of sins, and in most schools of Christian thought, Christ was incapable of sin. The Gospel according to St Matthew recounts a very similar set of guidelines given during the Sermon on the Mount.
Although numerous variations exist, this version, from the 1928 Book of Common Prayer, is a fairly well known example: