I really like the in-world pronunciation of Kelsier (Kel-see-AIY). He sounds like a really cool sort of demon, which is (SH)
Also, Elantris. I actually pronounced Elantris the in-world aonic pronunciation originally, changed it when I heard how everybody else pronounced it, then changed it back when I learned it was the correct in-world pronunciation. As a result, I really like the aonic pronunciation of Elantris, and am probably the only one. It sounds less imposing, but I like it more.
Also, like @HipsterStick, the name Steel Inquisitor is freaking terrifying.