I've heard about 3 different pronunciations of it, but I personally use the same way Linus pronounces his name - short i sound for the i, that one weird upside down e sound for the u. In other words, lin as in "linen" and ux as in "bucks"
I've always pronounced it Ly (like lying down) nux. This is the way Linus says it as I was told by a bud who got to listen to him speak at one of those big Expos.
That's what I'm told. If you set up a sound card on Linux, you can here him say something (although I have never figured out what the whole message is) but it sounds like he is pronouncing it that way also.