How to manually insert an UTF-8 character into an SQL statement?

I'm trying to insert a record that contains an ô (o circumflex) into a
table using the psql client.
I also tried with phppgadmin and pgadmin, but both can't do this. They
insert a HTML entity and error out respectively. Not what I had in mind...

Supposedly I should be able to type:
INSERT INTO table (name) VALUES ('C\0x00f4te d''Azur');
but all I manage to achieve is inserting a capital 'C'...

It doesn't seem to matter to which encoding I set psql either.
What am I doing wrong?

Alban.