Is "Mormon" a disrespectful term?

When I was in Utah, I found myself consciously avoiding the term "Mormon," in favor of "LDS." While I understand the term "LDS" means "Latter Day Saint," what I don't know is either the provenance or connotation of the term 'Mormon.' So, first off, why and how did the term "Mormon" come denote members of the Church of Jesus Christ Latter Day Saints, and secondly, is it at all offensive to use the term?