Its name comes from the Picatinny Arsenal in New Jersey, where it was originally tested and was used to distinguish it from other rail standards at the time. The rail comprises a series of ridges with a T-shaped cross-section interspersed with flat "spacing slots". Scopes et al. are mounted either by sliding them on from one end or the other; by means of a "rail-grabber" which is clamped to the rail with bolts, thumbscrews or levers; or onto the slots between the raised sections.
It is also sometimes referred to as MIL-STD-1913. I've seen products advertised as fitting a standard 1913 rail, which is the same as a Picatinny. I've always heard it pronounced pic-a-tinny. Just like it is spelled.