There are a number of words in the English language that start with a silent p, such as
psychology (and psych, psycho etc.)
The fact that the p is silent is often ignored or missed by non-native speakers. This is surprising, because the correct pronunciation appears to be easier. In other cases, the pronunciation is not so clear. For example, the Greek letter (psi), which features very prominently in quantum mechanics, can be pronounced with or without the p (see here for a post on Greek letters). On the other hand, according to wikipedia, the p in the name of the inventor of the Gangnam style, Psy, is silent. Readers with a science background may be interested to know that silent p’s are also found in the words pseudogap and pnictides.
Let me point out that I am not talking about different pronunciations in different dialects within the English language here, but about the correct pronunciation. Interestingly, in some parts of Germany, p‘s are also not pronounced at the beginning of words, for example in Pferd (German for horse). However, in that case, we are indeed dealing with aspects of a dialect rather than correct vs. incorrect pronunciation.