In order to pronounce names as ambiguous as these, one really needs to consult the Katakana used to represent their names' pronunciation. I did this before on a similar topic, but I like sharing my knowledge, so I'll help:
Before I post this, though, please bear with me, because I'm not sure if Katakana can be posted on these forums.
Xemnas - ゼムナス - Ze-mu-na-su : Zem-nas (the "a" in "nas" is pronounced with an "uh" sound; so it's "zem-nus".)
Xigbar - シグバール - Shi-gu-ba-a-ru : Sig-bar ("shi" gets shortened to "si", before the "h" is due to the Japanese lisp thing when pronouncing American words, so, like Simon in TTGL, it's not "Shigbar", it's "Sigbar". Also, unlike in Xemnas, the "a" here is a long sound, so it's pronounce like "ah". Also, the "s" in "shi" is pronounced as a "z" still, but since they don't have a character for "zhi", they had to settle for an "s". So it's technically "zig-bar".)
Xaldin - ザルディン - Za-ru-d-i-n : Zal-din (not much to say here, since his name is pretty obvious. but remember that the "a" in "zal" is also an "uh" sound, so it's "zul-din".)
Vexen - ヴィクセン - V-i-ku-se-n : Vik-sen (his name was pronounced incorrectly in Re:Com; they said "Vek-sen" while it should have been "Vik-sen". But it's irrelevant since he's not really that liked as a person anyway XP.)
Lexaeus - レクセウス - Re-ku-se-u-su : Lek-se-us (the "ae" in his name is pronounced like an "e", just like most greek? heroes and people.)
Zexion - ゼクシオン - Ze-ku-shi-o-n : Zek-si-on (despite the urge you get to want to put the emphasis on the "o" in "on", you don't; you pronounce it more like an "un", like in Auron in FF. And just like in Xigbar's name, the "shi" is actually a "si".)
Saix - サイクス - Sa-i-ku-su : Saiks (his name was pronounced somewhat incorrectly in KHII, but that's partly due to the dots above the "i"; it's makes one pronounce the "i" twice, but you can really pronounce it either way, it doesn't matter. However, the pronounciation that I found to be more likely was just "saiks" in one swoop, but like I said, you can really pronounce it either way.)
Axel - アクセル - A-ku-se-ru : Ak-sel (if you really need help with his name, you're really dumb. But, yeah, it's pronounced just how it looks, mostly in part to the fact that this is the only real name in the entire series.)
Demyx - デミックス - De-mi-k-ku-su : Dem-iks (quite the contrary to popular belief, there is no "ee" sound in his name, it's a short "i" after a hard "dem"; so "DEM-iks".)
Luxord - ルクソード - Ru-ku-so-o-do : Luk-sod (now, once you see the key to the left, you want to instinctively say "sod", but really it's pronounced "sword", the Japanese just have a weird way to pronounce English words. But if you know how to read the characters above, then you would know that the long "o" sound would name an "ore" sound in English, plus the "s" and the "d" at the opposite ends, and you get "sword"; so it's pronounced "Luck-Sword".)
Marluxia - マールーシャ - Ma-a-ru-u-sh-a : Mar-lu-sha (I personally think that this is one of ths most bad-ass names in the series the way that it's supposed to be pronounced; people think it sounds gay, but it's supposed to be a chinese pronounciation: "xia" is pronounced "sha" in Chinese, and despite the fact that he looks nothing like a Chinese person, the fact is that Nomura designed his Nobody name to sound like one. So, anyway, it's pronounced with a long "u" sound, so "mar-loo-sha".
Larxene - ラクシーヌ - Ra-ku-shi-i-nu : Lak-sin (despite the fac that there's no "r" in the entire pronunciary description, it's just silent, like in England, they don't pronounce the "r" in things like water and other words. Also, the "shi" is a "si" again, but with a long "e" sound this time, so it makes "lark-seen".)
Roxas - ロクサス - Ro-ku-sa-su : Rok-sas (seeing as how he's basically the main character, and his name is said about 200 times in the game, I see no need to explain how to pronounce it, but I will anyway. It's fairly simple, though, just remember that the "a" in "sas" in an "uh" sound, like in Xemnas and Xaldin, so you'll get "rock-sus".)
Xion - シオン - Shi-o-n : Si-on (her name is really just the ending of Zexion's name, so it's just "See-un", with the same sound on the "on" as in the latter's name and in Auron's.)
I really hope that this helps. Although, somebody else is going to ask the same exact question in about a week, so, whatever...