"What about the cake? - I gave it to him!"

Je donne la galette à Henri. --> Je lui donne la galette.

You canot say je donne la galette à lui. Grammatically Henri is a COI (complément d'objet indirect) and is replaced by the indirect object pronound of the appropriate number and gender: lui. The usual rules for word order require lui to come before the veb. This is the case with most french verbs.

However, to make things interesting, there are some verbs which go the opposite direction. Take penser for example:

Je pense à Paul. --> Je pense à lui. Here you cannot say: je lui pense. Lui, in this case, is a stress pronoun. You wouldn't notice in this case because the indirect object pronoun and the stress pronoun of male third person singular are the same: lui. But the difference becomes apparent when you switch to a female version of the sentence:

Je pense à Marie. --> Je pense à elle(and not je pense à lui). For female third person singular, the indirect object pronoun is still lui but the stress pronouns is elle, so the difference shows up clearly in this sentence.

Some words which go against the grain and require the stress pronoun at the end of the sentence instead of the indirect object pronoun before the verb are: penser, aller, avoir affaire à, prendre garde, rêver, recourir, songer, renoncer, tenir, se fier

Still not confused? Let me top that, then. If you are talking about inanimate objects, things are a bit different still.

N'oublie pas de faire les courses. -- Oui, j'y pense. (y replaces an inanimate object and moves in front of the verb)

N'oublie pas tes parents. -- Oui je pense à eux. (à eux is an animate object and remains at the end)

The object pronouns y and en can never be at the end of a sentence and alway go before the verb, but they can only replace inanimate objects.

Take a look here for a more in-depth explanation: https://www.thoughtco.com/french-indirect-objects-1368865

Yea, that made sense as a correct translation, but what is wrong with "Je l'ai donnée à lui"?