(Note: All IPA transliterations are approximations. Please use audio charts found at
http://www.paulmeier.com/ipa/charts.html for better understanding of proper sounds.)
If the artist/group have a foreign (non-Japanese, non-English) name, you should pronounce it the way it is meant to be pronounced in the original language.
Gackt [gækt] not [gakuto] as in ガクト
L'arc-en-Ciel [lɑʀk ɒ̃ sʸel] not [ɾaɾuku aɴ šiɛɾu] as in ラルク・アン・シエル
Antique Café [æntik kæfɛʸ] not [aɴči:ku kaɸɛ:] as in アンチック・カフェー
Dir en grey [diʀ ɒ̃ gɹɛʸ] not [diɾu aɴ guɾɛ:] as in ディル・アン・グレー
This is because the Japanese transliterations are, themselves, approximations. Obviously most English speakers won't pronounce them "properly", because many of these sounds don't occur (at least commonly) in English. So at the very least, you should pronounce the foreign name as you would approximate it in English (ie. [dɪɹ] instead of [diʀ]).
Pure-Japanese names should be pronounced as in Japanese, or your nearest English approximation.
浜崎あゆみ [hamasaki ayumi] or [haməsaki ayumi]
安室奈美恵 [amuɾo namiɛ] or [amuɹo namiɛʸ]
椎名林檎 [ši:na ɾiɴgo] or [šina ɹɪngo]