I learned it in groups of fours and by comparing the Greek and English alphabets. It went something like this...
(kind of like "A, B, C, D"... well okay, "A, B, G, D")
Alpha
Beta
Gamma
Delta
(the later three rhyme)
Epsilon
Zeta
Eta
Theta
(similar to English alphabet... I, [no J], K, L, M)
Iota
Kappa
Lambda
Mu
(... N, O, P.. except for the Xi anyway)
Nu
Xi
Omicron
Pi
([no Q], R, S, T, "U" [looks more like a Y])
Rho
Sigma
Tau
Upsilon
(first three rhyme, omega is the end of the Greek alphabet)
Phi
Chi
Psi
Omega
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