It's pronounced "a LEE thee a" - that's the way I pronounce it, anyway, and everyone else I've ever heard of that has it as a name pronounces it. Also have known a few Greek speakers and that is the way they pronounce it as well. [noted -ed]
The only person I've ever met with this name pronounced it "a-LEE-tha", with the second e in Alethea being silent. I think it is very pretty, and love the meaning. However, the al-e-THEE-a pronunciation reminds me of Alicia with a lisp. It's still pretty, though.
I have always been known as Thea and was only ever called Alethea when naughty. However, when I started work at my current place of employment for some reason, despite me saying I prefer to be called Thea, almost everyone calls me Alethea. Or at least they try to. A couple get it right, but I still after 2 years regularly get Al-a-thea, Ale-thea, Al-thea, Al-ee-tha even Anthea, even though my work email has my proper name attached to it and I always sign as Thea. I never really though about how I say my name until all this business but I guess I pronounce it Uh-LEE-thee-ah or A-LEE-thee-a.