When we lived in Puyallup, Washington, we laughed at the town name of Tulalip and wondered how that might be pronounced. But we were always grateful we didn't live in Enumclaw, Klickitat, Kooskooskie, Sequim (pronounced "squim"), Tumtum, Tumwater, or Walla Walla. Or, yikes!--the curiously named Humptulips.
On the way to New Mexico from New Hampshire we passed through Toad Suck, Arkansas. We didn't pass by Natchitoches in Louisiana, but I just learned from an online discussion that it is pronounced NACK-a-tush. Too bad we missed Lick Skillet, Tennessee, but I'll always savor its name.
Now that we live in New Mexico the names are sometimes easier to pronounce but they might have curious histories, like Truth or Consequences, Pie Town, and Elephant Butte. Here are a few that you might have trouble pronouncing--I certainly did, on the first try: Madrid (mad'-rid), Tesuque (teh-soo-key), Pojoaque (poe-waw-key), Dzilth-na-o-dith-hle (who knows?), and To'hajiilee (say Twahili, rhymes with Swahili; or "too-wattchillee"--my sources disagree).
Nearby Texas has a town called Hell, and another one called Uncertain (which always reminds me of Middlesex, Massachusetts). The state is also home to Muleshoe, Point and Shoot, Energy, Oatmeal, Rice, Noodle, Fink, Wink, and Zorn.