From S.T. Joshi's H.P. Lovecraft: A Life: "In various letters Lovecraft appears to give somewhat different pronunciations; his canonical utterance, however, occurs in 1934: ...The one pronunciation we can definitively rule out... is Ka-thul-hoo. [Donald] Wandrei states that he had initially pronounced it this way in Lovecraft's presence and received nothing but a blank stare in return."
The one time I've actually heard it spoken aloud was in an episode of the animated The Real Ghostbusters called "The Collect Call of Cthulhu." There, they pronounced it essentially as "k'too-loo." So I've always interpreted the "th" not as a voiceless dental fricative as in English, but as an aspirated T (voiceless alveolar plosive) as in the Ancient Greek pronunciation of the letter theta. Same with the lh; I treat it as an aspirated L.
I try not to. I once had to make a saving throw against one of his tentacles because someone said his name aloud. ....didn't seem worth the risk after that.
*breaks out Necronomicon* Sagath Cthilhu omnomibus norac avados zen k'avadatha n'guc'to KATHA'BBATH'ANADA'RA
I've always pronounced it "Kthul-hoo." (Kind of swallowing the "kuh" and "thul" sounds together.) I think I'd need to hear somebody pronounce that before I could even begin to imagine what it's supposed to sound like!