In most graphical *nix environments that I'm familiar with, if you hold Control and Shift¹ and type U, you can type any Unicode character by its (hex) code point. For instance, if you want an em dash, which is U+2014, hold Control and Shift, and type "U2014".

¹You can release Control and Shift after typing "U", in which case the character will appear after you type a space. Or, you can hold Control and Shift while typing the code point, in which case the character will appear after you release either modifier key.

I just tried in Debian, works! Very handy.

On Windows yes, just proceed the number with a 0 to get Unicode. See the "How to enter Unicode characters in Microsoft Windows" page [1] for more details, including one of my favorite tricks, using Alt-X in WordPad. It is especially useful when you want to know what the code point is for a Unicode character.

[1] http://www.fileformat.info/tip/microsoft/enter_unicode.htm

Turn on Num Lock and it still works, including in Firefox.

Alt-(3 digits)