I've found "Mickey Mouse" to be problematic.
Essentially, if you want to ensure that your file will work on as many systems as possible, stick to alphanumeric characters and underscores. Even spaces can cause problems.
Most OSs can handle most characters nowadays, but the list of names they can handle isn't exactly the same, and many people use older OSs. Also, some file-transfer protocols balk at "odd" characters.
Are there specific characters (or a family of characters) that you're curious about?