How to change all the tables in my database to UTF8 character set?

For single table you can do something like this:

ALTER TABLE tab CONVERT TO CHARACTER SET utf8 COLLATE utf8_unicode_ci;

For the whole database I don’t know other method than similar to this:

http://www.commandlinefu.com/commands/view/1575/convert-all-mysql-tables-and-fields-to-utf8