Normally I use the american keyboard layout (since, as a Perl programmer I really want shift-3 to give me # not £.) This means when I hold down 'Alt' in most applications I can type things like “special quotes” and fünny léttérs. All good and well, but occasionally there's a unicode charecter that I know the code for but there's no keyboard shortcut for.
Lots of googling later and I'm a little more informed. You know within "International" in "System Preferences" you can enable one or more keyboard drivers in the "Input Menu" that you can switch between (with command-space and alt-command-space, or by using the 'show input menu in menu bar' option.) As well as enabling the charecter palette that allows you to scroll though seemingly all of unicode (useful, if not a bit tiresome every single time you want to enter a letter) you should also enable 'Unicode Hex Input'. When you switch to this keyboard driver it acts just like it would if you were using the american keyboard (yey) but changes the way the 'Alt' key works. Now holding down 'Alt' and typing the UTF-16LE code for the charecter (i.e. the hexcode for the codepage) allows you to enter any unicode charecter you want. Cor, it's just like using Windows again.