Google is your friend when pronouncing stuff like that. From a site containing stuff about HP Lovecraft, there were two ways to pronounce Nyarlathotep, an american and a british way. Well according to this site the american pronunciation is
ny-are-la-HOE-tep
and the british pronunciation is
ny-are-la-TOE-tep
Which I found interesting.
I had a hard time with the ship name Auriga.
I tried pronunciating it like are-iga, then tried it as Aw-REE-ga, found that the long E way sounded better. I hope I did it right. heh.
Must be my western overhomer speak bleeding through.