I am so glad you asked. The word "gjallarhorn" is a Norse word from that respective mythology meaning "yelling horn" (you can see where that "y" sound comes from in relation to the silent "g" and "j", but that's a separate history lesson). The horn was used to warn the gods of Ragnarock and so on. In the original Norse dialect, it's pronounced as I said above.
English
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http://destiny.bungie.org/forum/index.php?id=66227
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https://translate.google.com/m/translate#auto/is/gjallarhorn