Another, lesser known, method works in most application that use a rich edit control to input text (word, wordpad etc.).
If you know the hexadecimal unicode value simply type u+nnnn (where nnnn is said 4 digit character code) and press Alt-X.
Example: u+045c (followed by Alt-X) will produce the letter ќ. This way, you can input any unicode character as long as you know its character code but like said, it only works in rich edit text controls.