I'll indulge myself in a continuation of my Czech-centric noding rampage and add a few Czech cities here: Prague (German 'Prag'): Praha
Brno -- called "Brunn" (with an umlaut on the u) in German. "R" functions as a vowel in this word -- think "Birno", not "Bruno". IIRC the city indeed is called 'Bruno' in Italian.
Pilsen (German also 'Pilsen'): Plzen (with a caron on the n)
Ceske Budejovice -- 'Budweis' in German, sometimes also called that in English. (Exact spelling: 'C*eske' Bude*jovice', i.e. carons on the 'C' in Ceske and first 'e' in Budejovice, and acute accent on the last 'e' in 'Ceske').
Olomouc -- this, the Czech name, is generally used in English; sometimes the German 'Olmutz' is used.


The Czechs also have some wacky names for other countries' cities, e.g.:
Paris is Pariz (with carons on the r and z and an acute accent on the i)
Potsdam, Germany (near Berlin) is 'Postupim'
Rome is Rim (with a caron on the r and an acute accent on the i) Munich is Mnichov
And so on...

Note that calling a German name for a Czech city 'incorrect' is actually a bit historically shaky, because most of these cities have a history of mixed Germanic/Czech settlement.

Before getting uptight about jumbled city, etc. names, we should keep in mind that most people use language as a tool, rather than taking it as a value in its own right... and that there are good reasons for this. So in the times when these names were formed, they travelled to other countries, got mutilated generally to fit speakers' notions of 'what a word should sound like' and without interest in their original form -- people didn't care about those city names for their own sake, but rather about the purposes for which they used the words. That hasn't changed since those days (i.e. most people don't care so much if it's Prague or Praha, as long as they have McDonald's there...) it's just human nature.