Change the word "Chapter" to something else

This problem is not due to fancyhdr, as the following example shows:

\documentclass{book}
\usepackage{fancyhdr}

\renewcommand{\chaptername}{Lecture}

\begin{document}

\chapter{Test chapter}

\end{document}

Perhaps you are using babel with some idiomatic option? If this is the case, the redefinition needs to be made using \addto\captions<language>; for example, in the case of the english option for babel:

\documentclass{book}
\usepackage[english]{babel}
\usepackage{fancyhdr}

\addto\captionsenglish{\renewcommand{\chaptername}{Lecture}}

\begin{document}

\chapter{Test chapter}

\end{document}

You need to use

\makeatletter
\renewcommand{\@chapapp}{Lecture}
\makeatother

since that's what fancyhdr uses as \chaptername.