Mari - currently top of my list
Elin
Elen
Tesni
Nia (although it might sound more like Near in England)
Eira (although you may get the ra pronounced ruh instead of ra as in rabbit)
Mali
Alys
Sali
Nansi
Elsi
Lili
Carys
Cerys
Nerys
Catrin
I would normally say Eleri too, but I encountered some confusion on another thread as to how it could rhyme with Terry and Kerry rather than celery, so perhaps it's not as easy as I once thought!
Tomos - will get Thomas, but my English DH has learned to pronounce it, so not impossible. This is on my list. Twm is a cute family nickname option. He can go by Tom at school if he likes.
Macsen - also on my list. I think this will be mispronounced as 'Max-un' instead of 'MACS-en' (en as in pen and hen)
Osian - also on my list! You will probably get 'OSH-un' instead of 'OSH-an'. You'll get Ocean a few times too. I don't think it's too difficult for people to learn though.
Aled - everyone knows how to pronounce due to Aled Jones but it is a bit dated
Alun - will get Alan, but I like Alan too, even if it is a Grandad name.
Owen
Gwion
Gruff/Griff
My Welsh name is commonly mispronounced, but it doesn't really bother me - I've only ever lived in England so I'm used to it*. It mainly bothers me when people want to call me by the English version instead, or ask if they can call me Sophie, for example, 'as it's easier'.
*although every time I think I've encountered every possible misspelling of my name I encounter a new one 
You need to think if you can live with any likely mispronuncuation. So I could live with Thomas instead of Tomos, or Ey-ruh instead of Eira, for example, but someone else may not.