I've been wanting to use this trick forever. Here's how to quickly, effortlessly, and I should add, destructively, convert all tables in a given database to UTF8.
mysql --batch information_schema -e "select concat('ALTER TABLE ', TABLE_NAME,' ONVERT TO CHARACTER SET utf8 COLLATE utf8_general_ci;') as '--' from TABLES where TABLE_SCHEMA='somedb' and TABLE_COLLATION not like '%utf8%'" | mysql somedb
The addition of INFORMATION_SCHEMA combined with CONCAT makes it possible to do arbitrarily cool things with MySQL. Love it.