Unicode in domain names is especially nasty. Here's an example of how unicode in domain names lets you get phished with ease

Think you're on www.apple.com (and the HTTPS padlock appears), think again!

It only appears as if you're on www.apple.com because the "l" in apple is actually some unicode that is rendered visually similar.

ASCII for all commands / domain names / files names / anything that can be referenced from a command prompt. Unicode maybe if you want to put it in a word processor document or PDF.

edit: fixed grammar