OK, hate to be the one who brings this oh-so-scintillating discussion on how to pronounce the Greek Alphabet to a screeching halt, but here is a link that you'll find helpful. You can even click on the letter and hear how it is actually pronounced!
The Real Deal
This subject comes up over and over again and as an "ethnic Greek" it makes me batty. And no, I have never changed the pronunciation of the Greek Alphabet to avoid offending other GLO members. If anything, *I* should be offended that you're mangling my native tongue. But I'm not, because its unreasonable to expect non-Greek speakers to pronounce Greek perfectly. News flash: Ethnic Greeks will not go into a homicidal rage if you can't pronounce "Phi" correctly. Nor do we lose sleep at night over "X-eye," "Zee," or "Ksee."
In fact, when I'm with other GLO members even *I* pronounce the Greek alphabet the Anglicised way because I don't want to get into this asinine conversation EVERY DAMN TIME.
Thank you, drive through.