Never noticed this thread before. Good stuff here. I especially appreciate the terms in other languages...so, I will contribute a few in Chinese Mandarin. Anybody that speaks Chinese well is welcome to correct me.

North - Bei (like bay in English) 北
East - Dong (with long o) 东
South - Nan (like Han Solo) 南
West - Xi (like she) 西

Capital - Jing (like wing) 京 - use at the end of a name, e.g. Beijing (northern capital), Dongjing (Tokyo, eastern capital), Nanjing (southern capital).
Capital - Shoudu (show doo) 首 都
Province - Sheng 省
City - Shi (like sure) 市
City - Chengshi 城 市
Road - Lu (like Lou Grant) 路


Sea - Hai (like hi) or Hai Yang 海 洋
River - He (huh) 河
Lake - Hu (like who) 湖
Mountain - Shan (like Shawn said with a Baaastan accent) 山
Forest - Lin (like Lynne) 林


Sorry for the silly pronunciation guides...I'm not educated on any official systems for conveying pronunciation!
M