My name gets mispronounced, too, and I'm fine with it - I actually prefer the incorrectly pronounced version of my name.

It has taught me, though, that when someone tells you "you can just call me X", you should not keep asking them how to really pronounce their name. If you're an American, you are not going to be able to fluently pronounce some non-Indo-European names. It's downright rude to quiz people for minutes on end as to how their name is "really" pronounced. If you don't get it on the second try, just go with what they're comfortable with.