Summary:
- Windows: anything except ASCII's control characters and
\/:*?"<>|
- Linux, OS-X: anything except null or
/
On all platforms it is best to avoid non-printable characters such as the ASCII control-characters.
Windows
In Windows, Windows Explorer does not allow control-characters or \/:*?"<>| You can use spaces. If you use spaces, you will often have to quote the filename when used from the command line (but GUI apps are unaffected so far as I know). Windows filesystem such as NTFS apparently store the encoding with the filename, but UTF-16 is standard.
Linux, OS-X
In Linux and OS-X only / of the printable ASCII set is prohibited I believe. Some characters (shell metacharacters like *?!) will cause problems in command lines and will require the filename to be appropriately quoted or escaped.
Linux filesystems such as ext2, ext3 are character-set agnostic (I think they just treat it more or less as a byte stream - only nulls and / are prohibited). This means you can store filenames in UTF-8 encoding. I believe it is up to the shell or other application to know what encoding to use to properly convert the filename for display or processing.
Conclusion
So you could probably safely use something like ✣ (if it weren't so hard to type)