A form of Names to Run Away From Really Fast.
Anything really long or otherwise impossible to pronounce on the first try. H. P. Lovecraft made this his stock in trade. For example, Cthulhu, Ithaqua, Shub-Niggurath, Y'golonac (YOU FOOL! YOU'VE DOOMED US ALL!!), Nyarlathotep,Yog-Sothoth, Etc.
Remember, you should always consider the original language of the story. Something impossible to pronounce can be perfectly easy to say for someone who hears things like that for their whole life. The same applies if character is supposed to be a foreigner; it might be normal for the country of his origin.
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Many of the arrancar from Bleach. Aaroniero Arruruerie, Nnoitra Jiruga, Grimmjow Jeagerjacques, Ulquiorra Schiffer, Szayel Aporro Grantz...the list goes on and on.
Borborygmus Gog in Galaxy of Fear. "Borborygmus" is actually a real word that means stomach sounds.
The Forgotten Realms books have a habit of giving their dragons hideously long names.
Most of the Lovecraft horrors fall into this category, but the one you must always be mindful for is simple. If someone says 'Hastur, Hastur...' you have two options. You can shoot the man before he can say the third Hastur, or you can run, and never, ever look back. Nothing makes a person haul ass faster than a summoned Eldritch Abomination.
One example of a place name like this is Zzyzx from the Fablehaven series. Zzyzx happens to be named after a real settlement in San Bernardino County, California.
Parodied in A Series of Unfortunate Events — The cruel and uncaring boss of Lucky Smells Lumbermill has an apparently unpronounceable name that is never given to the reader (and all attempts by Mr Poe at pronouncing it appear completely different). He is instead called "Sir".
Huitzilopochtli, the name by which the Aztecs knew the god Mars Ultor. Huitzilopotchtli is a real life Aztec god, which makes this doubly unpronounceable - the form you see written here is the closest, phonetic, Spanish approximation of the original Aztec.
Coatlicue, the Mother of All the Gods.
It's a bit of a Running Gag that Machiavelli has trouble pronouncing Quetzalcoatl's name.
The demon from Artemis Fowl: N* 1, which is apparently supposed to be pronounced 'Number one', but is still a pain to read aloud.
Roger Zelazny's fantasy novel The Changing Land features a demon named Melbrinionsadsazzersteldregandishfeltselior. The long name is necessary for the invocation ritual, and if the sorcerer attempting it were to get as much as one syllable wrong, the demon would kill him. Understandably, wizards are reluctant to attempt it. Subverted inasmuch as one of the antagonists is a wizard named Baran, whose native tongue is a horribly complicated agglutinative language, so he has no problem pronouncing the name and using the demon for errands.
On the Discworld, demons are given names that look like they were selected by headbutting a keyboard; when the demon Wxrt Hltl-jwlpklz introduces himself in Wyrd Sisters, Nanny Ogg quips, "Where were you when the vowels were handed out, behind the door?" Her co-witch, Granny Weatherwax, pronounces it without raising a sweat. While there are hideous beasts from the dungeon dimensions a la Cthulhu, more description is given to their forms than names (they're usually described as what might be the offspring of an octopus and a bicycle).
Haiyore! Nyarko-san, which stars Nyarlathotep (but please, call her Nyarko). When she first appears she mentions that Nyarlathotep is just a nickname, and she has a real name; later novels reveal that humans have a very difficult time pronouncing it, and just being able to comprehend it can strengthen the bonds between a man and a woman.
Romanadvoratrelundar. While her first two incarnations were OK, even travelling with the Doctor, her third incarnation was... ruthless, to say the least.
The Raxacoricofallapatorian aliens are a subversion. The ones we meet are usually villains, but most Raxacoricofallapatorians are actually Lawful Good. Some individual Raxacoricofallapatorian baddies, though, have hard-to-pronounce names (Blon Fel-Fotch Passameer-Day Slitheen, anyone?).
The Mighty Jagrafess of the Holy Hadrojassic Maxarodenfoe.
C'thun, Yogg-Saron, named faceless ones (R'khem, Volasj, etc), and named nerubians (Tutenkash, Anub'rekhan, etc) in World of Warcraft.
Sunn O)))—including whatever that is after the Sunn part; you just don't pronounce it—has a song called "Big Church [Megszentségteleníthetetlenségeskedéseitekért]". Anyone familiar with their music in the least knows that this church is most certainly evil.
The whole Aztec pantheon. Mictlantecutli, Centzon Huitznahua, Chalchiuhtlicue... They're doubly unpronouncable because the forms you see written here are the closest, phonetic, Spanish approximations of the original Aztec.
Although the name of the Jewish God is written as YHWH (which looks unpronounceable) that's due to it being a literal transliteration of the name from Hebrew, where it is written without vowels. This doesn't mean there are no vowels, just that they aren't shown (which is done often in Hebrew; vowel marks weren't added to the written language until the 9th century). However, God may have much longer mystical names (depending on the religious theories and interpretations) of up to seventy-two letters which have been lost at this point; these might fall into this trope.
Some scholars think that pronunciation of YHWH would actually be all breath sounds, leading to "God is breath/life." Which brings up the question "Can you pronounce breathing?"
Also, it is actually forbidden to Orthodox Jews to pronounce God's real name. When reading the Torah (which is done aloud), one just replaces it with "adonai" meaning Lord.
This is the source of the word Yehovah, reading YHWH with the vowels from adonai.
Even the word YHWH is actually a shortened version of the "real" name of God, which was allegedly dozens of syllables long and originally passed down in secret by the Levi clan and only pronounced aloud in the innermost chamber of His temple during the most sacred rituals. As far as anyone can tell, it has been lost to history.