Sephiroth:
Seff-ih-roth

Aeris:
Air-iss

Cait Sith:
Kate Sith

Yuffie:
Yuff-ee (but after KH came out I sometimes think yoo-fee)

Rinoa:
Rinn-oh-uh

Seifer:
Sigh-fur

Eiko:
Ee-ko

Zidane:
Zidd-ane

Brahne:
Brawn

Eidolon:
Ay-doe-lonn

Tidus:
Tide-us

Chocobo:
Cho-co-bo

Bahamut:
Baa-hah-moot