I had this previously in my normal mysql_* connection:
mysql_set_charset(\"utf8\",$link);
mysql_query(\"SET NAMES \'UTF8\'\");
Do I need it
I think you need an additionally query because the charset option in the DSN is actually ignored. see link posted in the comment of the other answer.
Looking at how Drupal 7 is doing it in http://api.drupal.org/api/drupal/includes--database--mysql--database.inc/function/DatabaseConnection_mysql%3A%3A__construct/7:
// Force MySQL to use the UTF-8 character set. Also set the collation, if a
// certain one has been set; otherwise, MySQL defaults to 'utf8_general_ci'
// for UTF-8.
if (!empty($connection_options['collation'])) {
$this->exec('SET NAMES utf8 COLLATE ' . $connection_options['collation']);
}
else {
$this->exec('SET NAMES utf8');
}