I was wandering through youtube stuff (and similar), and I heard a rather jarring pronunciation of Nyarlathotep: nye-ar-LATH-ho-tep. I've always said it like this: nee-ar-la-THO-tep. Have I been wrong? ('Cuz I really don't want to piss him off.)
For that matter, here's the rest of them. Comment as desired.
Abhoth – ah-BAWTH
Atlach-Nacha – AWT-lock-NA-cha
Azathoth – AZ-ah-thoth
Bokrug – BOK-rug
Chaugnar Faugn – SHAWN-yar FAWN
Cthugha – kuh-THOO-guh
Cthulhu – kuh-THOO-loo
Eihort – EYE-hort
Ghatanothoa – gah-tah-no-THO-ah
Glaaki – GLAR-key
Hastur – HAS-ter
Ithaqua – ITH-ah-quah
Nyarlathotep – see opening paragraph
Nyogtha – Nee-OHG-thah
Quachil Uttaus – QUAH-chil OOT-tahs
Rhan-Tegoth – RAWN tih-GOTH
Shub-Niggurath – shub-NIH-goo-roth
Shudde M’ell – SHUD-duh mell
Tsathoggua – suh-THOG-gwah
Y’Golonac – yih-GO-low-nack
Yibb-Tstll – YIB-stull (...need...vowels...)
Yig – YIG (heh)
Yog-Sothoth – yawg-SO-thoth
Zhar – ZAR (maybe ZOR? Or JHAR? This one's so HARD!)