Well, there are several different variations. You can say it any way you like, really, but the name that appears in the story is pronounced KUH-THOO-LOO
There's also:
Tulu, Clulu, Clooloo, Cthulu, Cthullu, C'thulhu, Cighulu, Cathulu, C'thlu, Kathulu, Kutulu, Kthulhu, Q?thulu, K'tulu...