Seriously guys, these words are being used in the games all the time. Just play some Oblivion, and listen to how the NPCs pronounce it and you will get most of the pronunciations right.
I never knew how "dreugh" was pronounced. I always thought it was pronounced "druff". If I'm not mistaken it's actually pronounced "dregg" or something.
Also, Cyrodiil is not Kyrodiil, it's Syrodiil. Syrro-dill.
I guess Thu'um is pronounced Thoo-umm.
Skyrim is spelled straight forward. Sky-rim.
Khajiit = Kah-jeet