Mark Goodacre notes a number of songs available to assist people learning the Greek alphabet. My favorite is probably this one; I might even add it to iTunes! But here are two others; the first is significantly more entertaining (and more accurate) than the second:
[If you're in my Elementary Greek class, do NOT follow this video's pronunciation!]
For the sake of completeness, those of you who are interested in all things alphabet should check out the recent debate concerning the origins of the alphabet. The relevant articles are linked to on PaleoJudaica (and follow the links).
[HT: Mark Goodacre]