I read some where that people in Europe thought that since the Magyar fought similarly to the Huns (utilizing light horse archers in great number) people of the time thought that they were the Huns who had returned to terrorize Europe once again. WhIle this is false and the Magyar and the Huns are not the same, is it true that the words Hungary and Hungarian come from this misconception.
Actually no, the name comes from UNGARI which in turn comes from Ugor (Ουγγαροί, Ogór, ) which means "tribe" in ancient pre-Hungarian tongue of the Bulgarian-Magyar peoples.
Various languages added different consonants tot he begining of this word to make it roll off the tongue easier. For example (H)UNGAR(ians) - in English , W(ĘGRZY) in Polish, (В)енгры in Russian etc.
The Hungarian name for themselves "Magyarok" comes from ugrofinic "magy" and "yar, ear" both of which means "man, person".
So essentially, as many other original ethnic names, their name can be loosely translated to "The People".
see: The Occupation of Our country and Linguistics. Budapest: Balassi Kiadó.