I don't know German so I always second guess myself when saying Einstürzende Neubauten... my guess is ein-shterr-zend-a noy-bau-ten.
I pronounce Autechre as if it were French. For some reason I sometimes pronounce Tame Impala as Ta-may Impala, even though I know it's blatantly incorrect. I guess Ta-may is sort of like the Maori version
And how about Ungl'Unl'Rrlh'Chchch? I always had trouble with that one... damn Lovecraft worshippers