Al-yo-khin
Emphasis on the yo.
I agree with AnthonyCG. I've always been under the impression it is correctly pronounced al-YEH-kin, with the accent on the second sylable.
At clubs and tourneys, too often I hear it pronounced AL-a-kine and I don't believe that is correct.
If I'm reading the IPA in wikipedia correctly, it's UH-lay-chin; with uh as in bud, ay as in pay, in as in pin, and the ch is like that back of the throat ch in german (think Bach).
This website, for what it's worth, says it is correctly pronounced Al-YECK-in which is pretty close to what I thought it was. (Al-YEH-kin)
http://www.chess-poster.com/english/notes_and_facts/pronounce_that_chess_name.htm
But I am pretty sure it is not pronounce "KINE" as I hear it so often.
I pronounce it A-le-kine since that pronunciation really got under the skin of the anti-Semitic Alexander who considered it a Jewish pronunciation.
I'm not quite sure how to pronounce the 4th world champion's name. I've heard both "A-li-e-kin" and "A-le-kine" used, which I initially assumed referred to two different individuals (harhar).
Set me straight, chess.com.