When I learn what words actually are I often try to pronounce it that way, and I dunno what I'm pronouncing wrong right now since there are words I know but never heard in real life.
But, in the TES series, I keep pronouncing "Sheogorath" as SHE-GORE-ATH. That is correct I think, but I forget the O... |D
I don't know what else though. But I've said many, many words wrong in my life and I'm not sure if I can remember any of them. Will edit once I find one, though.