Oddly, Balvenie is not on the list--I usually hear it Bal Venny, but apparently Bal Veeny is also acceptable. From the official website:
There is room for debate on how to pronounce Balvenie. The Grant family favour BalVENNY even though their distinguished ancestor William Grant is reputed to have called it BalVEENY.
Caol Ila seems to be pronounced "Cool Eela" on the pronunciation site--I've always heard something between "Cull Eela" and "Call Eela". This is a vowel sound that really doesn't exist in English.
Glenmorangie--rhymes with "Then Orangey". Very commonly mispronounced. "if you fancy a drink that tastes orangey, then you likely don't want a Glenmorangie."
Oban--"Oh b'n", accent on "Oh". Also very commonly mispronounced.
I gather that in Gaelic, accents are generally on the first syllables of words. However, many distillery names are compounds, and the primary accent is on the first syllable of the second part of the compound, with secondary accent on the first syllable of the first part. This is obvious with all the "Glens", but can be tricky to identify in other cases. Think of Lag'a vu"lin or Bruich' lad"dich (or Bru'ich lad"dich). I always have trouble with two-syllable compounds, like Ard' beg" and Ard' more".