The original DBF standard defines to use ISO8559-1, and only ISO8559-1. So, when you get a Shapefile that is really standards conform, it should be ISO8559-1. Of course, this (very old) restriction is a not really usable nowadays.
ArcGIS and Geopublisher, AtlasStyler and Geoserver started to extend the standard to define the encoding. For ArcGIS, Geopublisher and AtlasStyler SLD Editor, just create a .cpg file (with the same basename as the other Shapefiles) and fill it with the name of the encoding.
e.g. create a myshape.cpg with a texteditor and insert 5 characters "UTF-8" and save it. If you then open the Shapefile in ArcGIS or Geopublisher or AtlasStyler, they will read the textual contents of the DBF in that charset.
Geoserver: Geoserver WFS can export any WFS layer as a zipped Shapefile. When this is done, a .cst file is contained in the zip, doing exactly the same as the .cpg file.
Attention: All this only applies to the data, not the column names. You should really only use ASCII in the column names of a DBF if you want the file to be openable with other programs.
Hint: To change the encoding of a DBF open it with OpenOffice Calc.. choose SaveAs... click the "Filter options" in the bottom left and press save. You can then define the encoding to convert the text contents into.