Description:
Mysql corrupts unicode char 0x0401 (russian uppercase letter yo).

How to repeat:
See PHP code below, which explains the bug:

/*
    table structure:

    CREATE TABLE utf (
      id int unsigned NOT NULL auto_increment,
      str varchar(10) NOT NULL,
      PRIMARY KEY  (id)
    ) ENGINE=MyISAM DEFAULT CHARSET=utf8    
*/

$char = pack('H*', 'd081'); // unicode char 0x0401 in utf8 encoding
// insert it into database
// $dbh - mysqli database handler
$dbh->query("INSERT INTO utf SET str = '${char}'");
// get the id of the inserted char
$id = $dbh->insert_id;
// select it from database
$sth = $dbh->query("SELECT str FROM utf WHERE id = ${id}");
list($char) = $sth->fetch_row();
// unpack the char
$tmp = unpack('H*', $char);
echo $tmp[1]; // !!!ERROR!!! echoes d03f instead of d081

Suggested fix:
I don't know :)

What is the output of SHOW VARIABLES LIKE "character%"?
Check that appropriate variables are set to utf8.

Thanks!
I've decided my problem by setting the following character_set_* by utf8:
SET character_set_client = utf8;
SET character_set_connection = utf8;
SET character_set_results = utf8;