As I wrote in iPhone Love and Hate #2, you can add phonetic pronunciation to contacts on the iPhone. Siri will also use this field when it pronounces your name in conversation.
Below is the description of how to add phonetic spelling to a contact:
Adding Phonetic spelling is done via the Add Field entry in the address. Edit the entry in the address book, scroll down to the bottom of the page, and tap add field. On the Add Field page, tap the Phonetic First Name and/or Phonetic Last Name fields and enter the appropriate phonetic spelling for the name(s).