Sanya (Mythic Community Relations Director) sets everything straight when it comes to what acronym to use when talking about Warhammer Online. Here's her direct quote from the WARHerald:
I've been seeing some people use the acronyms WHO and WAR interchangably. When I delicately offer correction, I get a shrug and a "potayto potahto" reply.
First of all, it's totally pronounced "POTAYTO."
Second: WHO does not belong to us as a trademark and wasn't approved by GW, so I won't use it.
Third: Warhammer is one word, anyway!
Fourth: WAR is much cooler. Would you rather tell your mate that you're going to go play WHO for two hours and waste precious game time getting into a terrible Abbott and Costello routine, or say you're going to play WAR for two hours?