This is a very old question, but all of the answers given here are wrong.
You will never see Unicode output on the Windows command line (CMD.exe). The reason is that CMD cannot display Unicode. It can, however, display DBCS (Double-Byte Character Set).
If you want to see Japanese output, for example, you have to change your System Locale to Japanese and reboot. Then, you'll be able to see Japanese DBCS (i.e. Shift-JIS) characters on the command line. Windows supports Japanese Shift-JIS, Simplified Chinese, Korean, and Traditional Chinese "Big5" DBCS code pages.
Incidentally, you can pipe UTF-16 (inaccurately used interchangeably with "Unicode" by Microsoft) to a file, then open that file in, say, Notepad, and view the Unicode characters. You can also mark and copy the gibberish text from CMD.exe and paste it into Notepad and see the Unicode characters. In other words, CMD supports Unicode, but it doesn't display Unicode.
You can find more information in this blog post.
Best Answer
That's a problem related to the CODE-PAGE used (think about it as a linux LOCALE). You set those up with the chcp command
Try by setting one of the CPs commented here: http://en.wikipedia.org/wiki/Code_page
By the other side, if you use the Lucida Font in console, you can allways copy the garbled output and paste it in a word processor. The characters will be readable there.