Another state pronunciation that I think sometimes gets kind of funny is Colorado.
Personally, I'm originally from Texas, and when I'm not thinking about it, I sometimes say "Cal-o-RAD-a." Which, I'm pretty positive, would annoy the stuffing out of any native of that state (particularly since they don't seem to be fond of Texans as a rule). But even when I'm not adding in extra "a"s all over the place, I still default to pronouncing it "Call-o-RAD-o" rather than "Call-o-RAHD-o." I'm not sure which is actually correct.
I've also realized I do the same thing with Nevada. I think I say it "Ne-VA-da," but other people also say it "Ne-VAH-da."
I have also noticed, living in Oregon, that the natives here are both very picky about pronunciations, and seemingly very amused (at least to a point) by the outsiders who get them wrong. I pronounced the Willamette "will-a-MEET" the first time I actually said it out loud, and almost got laughed out of the room. It's supposed to be "will-AM-et," because it's origins are Native American. My boss poked fun at me for a week the first time I actually said "Tualatin" in her presence (it's "TWAL-atin" and the best guess I could make was "tu-ah-LAH-tin").
The only one that really seems to annoy them is the way some people, particularly those from the midwest and northeast, pronounce the name of the state. I, apparently, managed to get at least that much right.
Oh, and another state with two common pronunciations: Louisiana. I think most of the country says "Lou-ESE-ee-anna," but I most commonly hear "Louz-ee-anna." I actually suspect that what I'm familiar with (being from Texas and all) is actually closer to what the residents of the state call it. Particularly since they're the same group of people that call New Orleans "NAH-lins." Why have 4 syllables when you can knock it down to 3, after all?