Szeth shouldn't be too hard to pronounce, since /s/ and /z/ are pronounced with the same mouth/tongue position. The only difference is that /z/ is voiced while /s/ is unvoiced. (Try just going back and forth between /s/ and /z/, you don't have to move your mouth!) Therefore, start by pronouncing /s/, then add voicing to turn it into /z/. You'll be voicing the vowel anyway, so just start the voicing a little earlier.
I pronounce Kaladin like Paladin. I pronounce the various Mistborn names as they are pronounced in the audiobooks, as that's where I first "read" them. I do put the stress on the second syllable of Kholin, /ko'lIn/ (that's a lowercase L followed by a capital i), which seems to be a minority, though if it's Greek/Hebrew-inspired, maybe I should pronounce it /ko'lin/ instead.
That's really cool about Jasnah pronounced like "Yasnah" /'jazna/. I think I'll switch to that right away!