Well, all this feels a bit weird to me as a european. Americans and british pronounce it as f-you-g, but it's a french loan word, in french /fyg/ (y as in the last letter in particularly). The word itself however comes from the latin fuga, and in german and a lot of other languages the word is fuga or fuge. Fuga is of course pronounced foo-gah (well, not exactly, but close enough) so...I wouldn't laugh that hard at someone mispronouncing the word in "English" if I were them is my point I guess.