That depends which language for your site and db engine you will use. Since MySQL 4.1 and higher Unicode support was added, PostgreSQL supports it as well so I would recommend use it for all projects.
For MySQL run:
CREATE DATABASE `mydb` DEFAULT CHARACTER SET utf8 COLLATE utf8_general_ci;
See "Unicode with eZ publish" http://ez.no/products/ez_publish/documentation/configuration/configuration/language_and_charset/unicode_with_ez_publish
