Although Acrobat Reader 5.0 is supposed to support Unicode bookmarks, it doesn't. I can make bookmarks "ßß" or "Ñ?Ñ?", but I can't create a bookmark "ßÑ?". Alas, only a slice of unicode per bookmark.
7 September 2005, update
But xpdf with unicode bookmarks patch displays "ßÑ?" without problems. Viva open source!