Edited, September 14, 2008: This site is now at pronunciationguide.info.
pronunciationguide.org: A Guide for Classical Radio Announcers (and whoever else is interested), by Chris Wendl, whose day job is as a mathematician. The purpose of the guide was originally to inform classical radio announcers how to pronounce the names they run across, but the information therein is general enough that it should be useful to anyone who needs to pronounce foreign names. That includes a lot of mathematicians, though -- mathematics, like music, is practiced by people all over the world. (In particular, welcome to my many Spanish-speaking readers! I'd welcome you in your own language, but I can only read Spanish, not write it.)
Unfortunately it's focused only on European languages, since classical music is for the most part a European art form; the language I'd really like to have a decent guide for pronouncing is Mandarin, because there are so many Chinese mathematicians. I suspect it's out there if I take the time to look.