Lovecraft transcribed the pronunciation of Cthulhu as Khlûl′-hloo and said that “the first syllable pronounced gutturally and very thickly. The u is about like that in full; and the first syllable is not unlike klul in sound, hence the h represents the guttural thickness.”
Long after Lovecraft’s death, the pronunciation kə-thoo-loo or Ka-Thu-Loo became common.
According to Lovecraft, this is merely the closest that the human vocal apparatus can come to reproducing the syllables of an alien language.
It’s pretty cool that Lovecraft created these names with the intent that they’d be hard, if possible, to say. I wonder how he’d have pronounced all the weird words and names he made up.