xterm, MacOS X: The version of xterm included with MacOS X does not support UTF-8. Use Terminal instead.
PuTTY: Click on the icon at the upper left of the window and choose Change Settings. Under Window, choose Translation. The character set encoding drop-down box is near the top of the dialog. The default is Latin1.
TeraTerm Pro: TeraTerm Pro does not support UTF-8. If you plan to work with foreign languages I recommend switching to PuTTY.
!MobaXterm: Click on the settings icon. In the terminal tab, select your character set from the Charset drop-down. This will only apply to new settings launched after changing the setting. Also note that MobaXterm's X fonts seem to lack Asian character support.
Note that you also must have fonts that contain the characters you are trying to display. For most modern systems this is not a problem.