Most are pronounced "like they are written", i.e. using the French default usage. The *ê* can be pronounced either /e/ or /ɛ/.

*Thêta* is pronounced /tɛta/ or /teta/, *phi* and *khi* are pronounced /fi/ and /ki/.
 
Only *zêta*, *epsilon* and *upsilon* are pronounced as foreign words, *z* as /dz/, no nasalisation /ɔ̃/ and *u* pronounced /œ/: /d͡zɛta/, /ɛpsilon/ & /œpsilon/.

*Lambda* is generally pronounced /lãbda/ in France but the alternative /lam(b)da/ can also be heard, depending on the region.

*Psi* is not special but simply pronounced like the beginning of *psychologue*.

Note that *omicron* is pronounced the French way, with a nasalisation: /omikrɔ̃/.