Bath: It's "BAA-th." It's not "BAH-th" unless, as I once heard an Englishman claim, you're a complete git.
Beauchamps: It's not "BOH-sham." It's "BEECH-um."
Cockfosters: Okay, so we usually get that one right. It's the same in American and Englandian. My mature side would like you to know that the stop before Cockfosters on the Piccadilly line is Oakwood.
Islington: It's not EYES-lington. It's IZ-lington.
Kebab: It's not a ke-BAHB. It's a ke-BAAB.
Leicester: It's not LIE-chester. Nor is it LIE-ster. It's LESS-ter. The English just stuck a lot of extra letters in there. Like Gloucester. Just pretend the "-[vowel]ce-" bit isn't there and you'll get it.
Marylebone: Not only is this one immensely confusing to Americans, the English can't even seem to agree on it. The way you choose to pronounce it seems to place you in a particular class. If you pronounce the "L", you say it "MARRY-lee-bon." If you don't pronounce the "L," you say it "MARRY-bon." The former marks you a snob, the latter a working-class person. Depends on whom you're trying to ingratiate at the time, I suppose. Under no circumstances does it seem to be "MARE-ill-bone."
Pasty: It's not PASTE-ee. It's PAST-ee. They make edible PASTE-ees, but you can't generally buy them from a corner stand.
Premiership [football league]: It's not Prem-EAR-ship. It's PREM-ear-ship.
Reading: It's RED-ding. This is just for the place name, though. I can't explain it either.
Streatham: It's not STREET-ham. It's STRAT-um.
Slough: It's not SLUFF. Neither is it SLOO. It's SLAH-ow.
Twat: It's not "TWAHT." It's "TWAAT." To rhyme with cat.
And my own personal favorite!
Wymondham: This one so totally wins the extra letters count. It's not "WHY-mond-ham." It's "WIND-am."
For bonus points, pronounce "Loughborough" correctly on your first attempt.