Mah-rio or maw-rio
Silly Americans, there is no W in Mario, so where are you getting it from?! His name has been pronounced as Mah-ree-oh by himself and by other characters in the games... when his smiling face pops up onto the screen for the first time in Super Mario 64, he doesn't say -
"It's-a-me, Maw-ree-oh!"