$ mysql -u root
mysql> CREATE DATABASE test;
mysql> USE test;
mysql> CREATE TABLE test (str VARCHAR(10)) ENGINE=InnoDB DEFAULT CHARSET=utf8;
Query OK, 0 rows affected (0.02 sec)

mysql> INSERT INTO test (str) VALUES ('こんにちは');
Query OK, 1 row affected (0.00 sec)

mysql> select * from test;
+-----------------+
| str             |
+-----------------+
| こんにちは      |
+-----------------+
1 row in set (0.00 sec)

> con <- odbcDriverConnect('DRIVER=mysql;user=root', DBMSencoding='UTF-8')
> sqlQuery(con, 'SELECT * FROM rtest.test')
    str
1 ?????
> library(RMySQL)
Loading required package: DBI
> con <- dbConnect(MySQL(), user='root')
> dbGetQuery(con, 'SELECT * FROM rtest.test')
    str
1 ?????

> sessionInfo()
R version 2.15.1 (2012-06-22)
Platform: x86_64-apple-darwin9.8.0/x86_64 (64-bit)

locale:
[1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base

other attached packages:
[1] RMySQL_0.9-3 DBI_0.2-5    RODBC_1.3-6

con = dbConnect(drv = MySQL(), user = user, password = password,
                dbname = dbname, host=host)

dbSendQuery(con, "SET NAMES utf8mb4;")
dbSendQuery(con, "SET CHARACTER SET utf8mb4;")
dbSendQuery(con, "SET character_set_connection=utf8mb4;")


dbGetQuery(con, "SELECT * FROM WHATEVER")