I tested this on Windows 7 Home SP1. I first changed the shell font to Lucida Console as suggested. 
The default font produced strange characters for UTF8. 

What I find odd in the test below is that when invocking mysql with --default-character-set=utf8 the problem persists. 
Without --default-character-set=utf8 they display correctly.

===================================================================
Shell> C:\"Program Files"\MySQL\"MySQL Server 5.5"\bin\mysql -uroot -ppassword test --default-character-set=utf8
Welcome to the MySQL monitor.  Commands end with ; or \g.
Your MySQL connection id is 14
Server version: 5.5.28-log MySQL Community Server (GPL)

Copyright (c) 2000, 2012, Oracle and/or its affiliates. All rights reserved.

Oracle is a registered trademark of Oracle Corporation and/or its
affiliates. Other names may be trademarks of their respective
owners.

Type 'help;' or '\h' for help. Type '\c' to clear the current input statement.

mysql> \s
--------------
C:\Program Files\MySQL\MySQL Server 5.5\bin\mysql  Ver 14.14 Distrib 5.5.28, for
 Win64 (x86)

Connection id:          14
Current database:       test
Current user:           root@localhost
SSL:                    Not in use
Using delimiter:        ;
Server version:         5.5.28-log MySQL Community Server (GPL)
Protocol version:       10
Connection:             localhost via TCP/IP
Server characterset:    utf8
Db     characterset:    utf8
Client characterset:    utf8
Conn.  characterset:    utf8
TCP port:               3306
Uptime:                 1 hour 1 min 13 sec

Threads: 1  Questions: 6549  Slow queries: 0  Opens: 80  Flush tables: 1  Open t
ables: 1  Queries per second avg: 1.783
--------------

mysql> INSERT INTO chartest VALUES(1, UNHEX('73616E6CC3A4C3A4'));
Query OK, 1 row affected (0.00 sec)

mysql> SELECT * FROM chartest;
+------+----------+
| id   | v        |
+------+----------+
|    1 | sanlää   |
+------+----------+
1 row in set (0.00 sec)

mysql> SHOW CREATE TABLE chartest\G
*************************** 1. row ***************************
       Table: chartest
Create Table: CREATE TABLE `chartest` (
  `id` int(11) DEFAULT NULL,
  `v` varchar(64) DEFAULT NULL
) ENGINE=InnoDB DEFAULT CHARSET=utf8
1 row in set (0.00 sec)

mysql> \q
Bye

shell> C:\"Program Files"\MySQL\"MySQL Server 5.5"\bin\mysql -uroot -ppassword test
Welcome to the MySQL monitor.  Commands end with ; or \g.
Your MySQL connection id is 15
Server version: 5.5.28-log MySQL Community Server (GPL)

Copyright (c) 2000, 2012, Oracle and/or its affiliates. All rights reserved.

Oracle is a registered trademark of Oracle Corporation and/or its
affiliates. Other names may be trademarks of their respective
owners.

Type 'help;' or '\h' for help. Type '\c' to clear the current input statement.

mysql> \s
--------------
C:\Program Files\MySQL\MySQL Server 5.5\bin\mysql  Ver 14.14 Distrib 5.5.28, for
 Win64 (x86)

Connection id:          15
Current database:       test
Current user:           root@localhost
SSL:                    Not in use
Using delimiter:        ;
Server version:         5.5.28-log MySQL Community Server (GPL)
Protocol version:       10
Connection:             localhost via TCP/IP
Server characterset:    utf8
Db     characterset:    utf8
Client characterset:    cp850
Conn.  characterset:    cp850
TCP port:               3306
Uptime:                 1 hour 2 min 14 sec

Threads: 1  Questions: 6556  Slow queries: 0  Opens: 81  Flush tables: 1  Open t
ables: 1  Queries per second avg: 1.755
--------------

mysql> SELECT * FROM chartest;
+------+--------+
| id   | v      |
+------+--------+
|    1 | sanlää |
+------+--------+
1 row in set (0.00 sec)
===================================================================