Chapter 12 of Japanese edition of the whalebook describes how to handling Japanese languages. It seems to go well with my Mac environment (Mountain Lion), however, I faced several character corruption issues in my Windows 7 envrionment. Usually we call this kind problem as "MOJIBAKE" in Japanese.
I have been useing the standard command prompt so far, but I occationally found a blog whose owner is using Cygwin. After installed Cygwin and I needed some adjustment to use NLTK. This time I did not change any environment varialbles in Windows, just created following file named nltk_init.py.
# -*- coding: utf-8 -*-
from __future__ import division
import re, pprint
sys.stdout = codecs.getwriter('utf_8')(sys.stdout)
sys.stdin = codecs.getwriter('utf_8')(sys.stdin)