If you want to take things further, there are arguments that "demon" comes from the area that is now more or less India, and that the negativity associated now associated with the term "in the west" was created as part of the struggle of one religion to dominate over another (likely corresponding to the desire of one polity to dominate over the other(s)... but my memory gets even fuzzier at this point).
Anyway, I, too, pronounce it "daemon". I find this makes a useful distinction; also, I figure why insult the processes from which I'm hoping to receive good things. ;-)
> and that the negativity associated now associated with the term "in the west" was created as part of the struggle of one religion to dominate over another
Many things that the west considers evil in that way comes from other religions (mainly the large number of "nature" religions that get lumped under the banner of "pagan") and is that way from the early days of Christianity as it marched through Europe.
The cloven feet of the devil and other spawn of hell, as commonly depicted, are thought to originally have been a reference to Pan by the Christian artists of the day.
It isn't just evil: even more friendly imaginary come from similar backgrounds: the Easter bunny and hunting eggs at Easter are references back to "Pagan" rituals/gods - as groups converted to Christianity they kept some of their old festivals and such (in a more and more bastardised form as time passed).
Most of what we in the west do at the back end of December has (or had originally) very little to do with Christianity (even ignoring the fair chunk of it came about in the last century or two). There were many "pagan" festivals around that time, mostly of the form of some sort of thanks giving (thanking their Gods or other forces for allowing them to survive past the shortest days of the year, or congratulating themselves for the same), but until 800-and-something AD the Christians didn't mark the birth of Christ at that time. The ceremonies at Easter were (and largely still are) far far more important to them.
Anyway, I, too, pronounce it "daemon". I find this makes a useful distinction; also, I figure why insult the processes from which I'm hoping to receive good things. ;-)