This is just a study of mine; all of you will be my guinea pigs. I'm limiting this to RPGs, mainly Final Fantasy, since it's safe to say that most people (i.e. you guinea pigs) who come here are familiar with the series, thus some of the names. Feel free to add other games' proper nouns and I'll share how I would pronounce them.

I have had lengthy discussions (and arguments) about pronouncing character names, city names, esper names, etc. with friends of mine. Sometimes our way of saying a name is a tad bit off; sometimes it is radically different. I'll group them by category to make them more organized. (Note: I am leaving out the names in some games if voice actors pronounce them [FFX, FFXII] since it often colors our initial perception of a word's pronunciation)

Characters:
Rydia
Celes
Cyan
Sabin
Gau
Locke
Yuffie
Tifa
Aeris
Quistis
Quina
Amarant
Eiko
Ramza Beouvle
Mustadio

Places:
Damcyan
Thamasa
Narshe
Kohlingen
Mobliz
Tzen
Nibelheim
Dollet
Esthar
Oeilvert

Espers/Summons/GFs/Eidolons/long video sequences:
Ifrit
Shiva
Ramuh
Bahamut
Quetzalcoatl
Catoblepas
Raiden

Bosses & Miscellaneous:
chocobo
cactaur
Zeromus
Necron
Esuna
ether
genji

***

A good way of typing out the way you pronounce things is to break the word up into syllables and use capital letters to denote the syllable that you stress. Examples:

genji: GEN-gee
Catoblepas: kat-TOE-bull-poss

For the word "genji" I pronounce the first G as a hard G sound (i.e. a "guh" sound) and the second as a soft G sound ("juh"). I am sure there is a way to denote this, but I am not going to bother looking for it.

I'll fill out the list of my own pronunciations after a brief James Bond break.