Alpha Beta Gamma Delta Epsilon Zeta Eta Theta Iota Kappa Lambda Mu Nu Xi Omicron Pi Rho Sigma Tau Upsilon Phi Chi Psi Omega

For those who are on DSi:
Αα Ββ Γγ Δδ Εε Ζζ Ηη Θθ Ιι Kκ Λλ Μμ Νν Ξξ Οο Ππ Ρρ Σσ Ττ Υυ Φφ Χχ Ψψ Ωω

There you go! The Greek Alphabet.