How can I select a Unicode font, so I can watch e.g. Chinese subtitles?

Go to Tools -> Preferences (set Show Settings to All) and Video -> Subtitles/OSD, then change the Text Rendering Module from Default to Freetype2 font renderer. After that go to Video -> Subtitles/OSD -> Text renderer and choose Unicode font (like Arial) to Font. Remember to press Save to save VLC settings and restart VLC after that to make sure changes are enabled.