This probably seems to be more of a MySQL problem rather than a Java one; you might also want to try posting this to the official MySQL forum or Daniweb's MySQL forum.
Some interesting threads which I stumbled upon which make it seem as if this is a problem with older versions of MySQL:
http://www.vbulletin.com/forum/showthread.php?121120-SQL-Error
http://forums.mysql.com/read.php?26,6528,6528
http://bugs.mysql.com/bug.php?id=3611
I found one thread related to this topic. However, this thread discusses only Java web-applications.
That really shouldn't make a difference if it is MySQL which is the problem maker here. There is not a frightful lot you can do on the Java side except ensure that the user input is passed to the database engine as "utf-8" encoded string and set the connection properties to support the same.