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Examples of fonts that fit this description include:
Latin fonts MS Trebuchet, ITC Avant Garde Gothic, MS Arial, MS Verdana, Univers, Futura, ITC Stone Sans, Gill Sans, Akzidenz Grotesk, Helvetica
Greek fonts Attika, Typiko New Era, MS Tahoma, Monotype Gill Sans 571, Helvetica Greek
Cyrillic fonts Helvetica Cyrillic, ER Univers, Lucida Sans Unicode, Bastion
Hebrew fonts Arial Hebrew, MS Tahoma
Japanese fonts Shin Go, Heisei Kaku Gothic W5
Arabic fonts MS Tahoma
I'm confused................................ :(
If you are using those characters, then yes, I do think you need to serve UTF-8. But if you are not using any of the extended characters, then I would just avoid that specific font and use one of the other members of the Lucida font family. In addition, if your pages are in a non-English language, you should delare that language as an attribute of the html element -- <html lang="de"> for German, as an example.
Also note, even though Microsoft has widely distributed the Lucida Sans Unicode font for PC's beginning with Win98, for Mac users you should probably also include Lucida Grande in your css font family.