I've seen some YouTube videos, and they pronounce it "go-DOH", which is how I say it. There is also this New York Times article claiming it is pronounced "GOD-oh" (from the play Waiting for Godot, which the engine name comes from). There is also a video of Juan at GDC calling it "go-DOT". Not sure there is one "right" way to say it, so I guess pick the one you like.