In Modern Greek, the pronunciation is ah-thee-NAH. (I much prefer the usual English pronunciation.) The city of Athens is pronounced ah-THEE-nah, though.
One of my cousins is 1/4 Greek (born and raised in Athens, I believe) and she pronounces her name "A-TEE-na". Immigration transliterated her name to "Atina" when she came here.
-- Anonymous User 5/18/2006
In Greece it is pronounced Athena ah-thee-NA (as the female name) and a-THEE-na (as the capital).