Currently in WordPress 2.5 + UTF8 is enabled by default, but usually after installing of WordPress the MYSQL database use another collation.
Here is the MYSQL script that will transform your database.
ALTER TABLE `wp_comments` CONVERT TO CHARACTER SET utf8 COLLATE utf8_unicode_ci;
ALTER TABLE `wp_links` CONVERT TO CHARACTER SET utf8 COLLATE utf8_unicode_ci;
ALTER TABLE `wp_options` CONVERT TO CHARACTER SET utf8 COLLATE utf8_unicode_ci;
ALTER TABLE `wp_postmeta` CONVERT TO CHARACTER SET utf8 COLLATE utf8_unicode_ci;
ALTER TABLE `wp_posts` CONVERT TO CHARACTER SET utf8 COLLATE utf8_unicode_ci;
ALTER TABLE `wp_term_relationships` CONVERT TO CHARACTER SET utf8 COLLATE utf8_unicode_ci;
ALTER TABLE `wp_term_taxonomy` CONVERT TO CHARACTER SET utf8 COLLATE utf8_unicode_ci;
ALTER TABLE `wp_terms` CONVERT TO CHARACTER SET utf8 COLLATE utf8_unicode_ci;
ALTER TABLE `wp_usermeta` CONVERT TO CHARACTER SET utf8 COLLATE utf8_unicode_ci;
ALTER TABLE `wp_users` CONVERT TO CHARACTER SET utf8 COLLATE utf8_unicode_ci;