Many people have complained about the space tradeoff involved in storing international characters in the database (using nvarchar instead of varchar data types, for instance). A lot of folks decided to go ahead and forego the ability to store international character sets, with justifications like "we don't do business internationally." The argument tends to be along the lines of "we'll change the database in the future... if we have to."
Well if you're waiting for the future, it appears that ICANN has started the process of bringing the future to us. The organization that controls Internet name and number assignments has announced they are going to start approving international non-Latin characters for domain names (http://www.pcworld.com/article/181138/icann_oks_international_domains_the_pros_and_cons.html). This will affect Web-based data stored in databases--Web URLs and email addresses, for instance. Even if you don't currently do business internationally, some of your Web resources and contacts might be implementing international names soon. In the meantime, you can start future-proofing your databases by using the nvarchar data type where appropriate, including Web addresses, email addresses, and pointers to other Web-based resources.