Under Linux you can enable the compose key, with setxkbmap -option "compose:rwin"
This lets you prefix digraphs with rwin, and have them print unicode characters. This is (to some extent) configurable, although I am not sure on the location of the mapping.
Nope, just little blocks. Some interfaces display it as one solid dark monolith, some as empty squares, and a special few as festive little glyphs with mysterious markings inside. (XP SP2, every browser under the sun and then some.)
Just copy+paste ;)
On OS X, you can enable the Character Palette which is extremely handly for inputting unicode.
Settings->International->Input menu->Character Palette[Check]