Well.. you could just watch a justin broaderick interview, because he namedrops jesu about 70000 times.. but...
In the US, most people seem to pronounce the word Jesu as if it were German (or Latin), with a "y" sound as the first consonant. This is not the case in Great Britain, where the word "Jesu" is pronounced with a standard English "j" sound.
http://www.answers.com/topic/jesu-jo...n-s-desiring-1
Personally, I've always thought it was and always said "yay-zoo", but.. either way.