The people who originally designed the format pronounced it "jif", though they didn't say in the official specs. If you want to get really picky, go stick your head in a bucket. Either works, people will understand you. (They're laughing on the inside, of course ;)
There are two versions of the GIF file format, GIF87a and GIF89a. The important differences are that 89a added support for animation and transparency. A few other things were also added, like the ability to embed application specific data in separate blocks.
GIF is a lossless compression format, unless you try to encode a truecolor image, but that's your own fault.
The general rule to GIF vs JPEG is to use GIF for images that use few colors with sharp breaks (high frequency component) and use JPEG with photograph-like images that have many colors with smoother transitions (lower frequency).
You can tell a GIF file from its content by looking at the first 6 bytes, which will either be "GIF87a" or "GIF89a". This is the header.
A GIF file consists of that header, a "Logical Screen Descriptor", a trailer, and a number of optional blocks which probably include things like image data, a color table, animation info, etc.