I had a similar situation here:

http://www.sqlservercentral.com/Forums/Topic1441088-149-1.aspx

It turned out that Unicode characters don't store properly in VARCHAR columns, and I had to change them to NVARCHAR.

Beyond that, I can tell you that you're going to have display issues in SQL 2005 and earlier. When I query with a newer version of SSMS, they display properly. I ran into this again more recently with Korean characters and it was the same thing. Querying with 2k5 showed the rectangles, querying with 2k12 showed the correct characters.