I've been pronouncing everything the same way they do in the game, since I started reading about the characters and stuff. It's always been Vaan and Penelo and Ashe and Balthier, the way they say it in the game.
"Marquis", though? Bugs me lots. The first time I heard it in the game, I was like "MAR-KWIS? WHAT?" I have never in my life heard it pronounced like that. It was mildly horrifying.