A friend asked me about the word Yankee earlier -- and, in fact, gave me the generally accepted origin (hat tip to Robin). The OED says that the most plausible conjecture is that Yankee (nowadays often used to refer to any American, but originally used to refer to an American from New England or one of the northern states), is a derivative of the Dutch forename Jan, and was originally intended as a derogatory nickname.
There have been other suggestions as to its provenance. Thomas Anburey, a British officer in the War of Independence, said Yankee comes from the Cherokee eankke, slave or coward, which, he says, was a name given to the inhabitants of New England by the Virginians, because they did not assist the Virginians in a war with the Cherokees. Historian William Gordon said that farmer Jonathan Hastings of Cambridge, Mass., used it in the sense of ‘excellent’. Another possible explanation is that the word has developed from Native American Indian corruptions of the word 'English' (which became first 'Yengees', then 'Yankees'.