During the course of my studies, I have noticed how badly English-speaking people have anglicized Russian words. My friend has had to correct me on more than a few occasions, when I would pronounce something in a way completely at variance with how she had always done. For example, she is from a city in Eastern Ukraine, which we English-speaking folks call Donetsk. Although it is in Ukraine, the people there are predominately Russian-speaking. The name of the city in Russian is Доне́цк. The trouble for a lot of English-speakers is that the 'e' in Доне́цк is actually supposed to be pronounced as 'yeh', as in 'yellow'. So, it should sound more like 'Dōn-yetsk'.
That's also been a problem that we have had with the names of the various Soviet and Russian leaders:
|Russian||Common English transliteration||Better English Transliteration|
In the last case, the 'ё' is pronounced as 'yoh', as in 'yolk'.
I say, if you are going to do something, do it right.
A separate issue that bothers me are films or television shows that have a Russian theme that misuse Cyrillic characters in order to make them look more "authentic". Something like "Яеd Heдt". It just looks ridiculous.