As Sophia explained the geographical correct name is the Netherlands. If I say that I am from the Netherlands people sometimes don't understand but if I say I am from Holland, people will understand because in many languages they use Holland, Holanda, Olanda, etc.
In fact Dutchmen also use Holland in sport events. At the World Cup in Brazil also the Dutch fans will yell "Holland". Some Dutchmen living in the east and south will get offended because Holland is more related to the west of the country.