In Japanese it is usually called shidougo...where ou indicates a long o sound (like in English "door"); see Japanese Go pronunciations.
But it's usually spelt "shido-go" in English. --SAS
The above is not true, the hyphen is only used in katakana. --FFLaguna
The hyphen in English does not lengthen the vowel (as the katakana ー that looks like a hyphen does); rather, it's used to separate two words that run together in Japanese: shidou 指導 "teaching" and go 碁 "Go".) --Lothe