I used to write Lloth, but then the Greyhawk people schooled me on the right way to do things and I mended my heathen ways.
As for pronunctiation, I say "Lloth" the Welsh way, or as close as I can get to it, since Welsh is really the only language where words start with double Ls. The first consonant is like the "hl" in "athlete" - tongue against your teeth and blow.
"Lolth" is really easy to say in comparison - either "L-all-th" or "Loth." I'm not sure which is better, but the former is less confusing vis a vis yugoloths.