It's an "ex". You can even just call it X, and as long as you are not talking about Apple X11 on Mac OS X, most geeks won't get confused. The only pronunciation that will universally get you laughed at is "X-Windows".
Edit: That Wikipedia article, while informative, is a little tongue-in-cheek. Although it did derive its name from W, X didn't really originally run on "V", it ran on System V, as in System Five UNIX. The predecessor of which was System IV. Also the
Y Window System is hardly a successor to X11 as of yet. Actually, it looks like Y Windows is not even a
single idea.