When I was in primary, I'd address my friend, Sophia, as "soph-I-a". Until a very short time before she moved away, she finally caved and told me it was in fact pronounced "soph-ee-a".
To this day, I can never quite get the D and J in "Mahmoud Ahmedinejad" the correct way around, and I change my pronunciation of "Phnom Penh" about five times daily.
Another is the country adjacent to Vietnam, Laos. I always pronounced it "lay-os" until my brother pointed out that it's pronounced "louse". I also used to say Suriname as "surname" with an extra I, Kyrgyzstan "cargizistan", and Addis Ababa with the stress on the "bab".