To remember it, I got in the habit of pronouncing it as such:

  Dell-dot-icey-oh-dot-you-ess

The hard part was calling it 'delicious' in conversation so I didn't sound like a moron.

I think, in general, 'url hacks' like del.icio.us only work if the periods go between words, like http://go.to/

Funny you say that because where I had no problem (probably because I'm good at recognizing patterns) remembering the period placement, I slipped up three times today and forgot to remove them when going to the site.

I always worked backwards, knowing it ended in .us I was always able to say "del, dot icio dot us".