I am currently reading my way through a long list of science fiction and fantasy titles. (http://www.npr.org/2011/08/07/138938145/science-fiction-and-fantasy-finalists if you are interested in the list).
This is a frequent enough question that Google filled it in for me when I asked! Here is a quote from a website that provides some info:
A character by the name of James Bond appeared in a 1934 short story, Rajah's Emerald, which was published in the Agatha Christie anthology, The Listerdale Mystery. The Bond character from this short story is not a spy or action hero, but he does deal with an adventure that has to do with a stolen emerald, hence the title, and pines for the heart of a young woman named Grace. Was 007 creator Ian Fleming humoring readers when he named his classic protagonist, James Bond? According to the www.007magaizne.co.uk: "Ian Fleming's wry sense of humor has been well-documented over the years, making it highly possible that he may very well have hoaxed everyone and have also been influenced by Agatha Christie's writings, as her books were bestsellers during his formative years."
It's point five on this web page:
BTW, the link in the actual article is misspelled and doesn't work. Even when you spell it correctly, it only goes to a generic page for the magazine, nothing specific to this question. WP