Notable Changes in MySQL 4.1

Important Change in MySQL 4.1

*) Character Sets

With version 4.0, you certainly have a choice of character sets... but once you've made the choice, you have to stick with it. For example, with version 4.0 you can't say "this database has character set X (by default), but Table1.column1 will have character set Y while Table1.column2 will have character set Z." With version 4.1 you can.

More details about MySQL character sets and collation

*) Unicode

There are many different character sets because of the different encodings required by the various languages. Different languages can require different numbers of bytes to represent a character. All characters in the latin1 character set can be represented by a single byte. Other languages may need more than one byte per character. Unicode provides a single character-encoding system wherein character sets from all languages can be represented in a consistent manner.

MySQL 4.1 supports two new "Unicode" character sets: ucs2 (Unicode UCS-2 encoding with every character represented by 2 bytes) and utf8 (variable length format with every characters represented  with 1 to 3 bytes). Both ucs2 and utf8 have the same repertoire of characters (about 40,000 of them); the difference between them is that only ucs2 is a fixed-width character set (always 16 bits per character), while utf8 is a variable-width character set (between 8 and 24 bits per character). The point of having Unicode character sets is that, with such a large repertoire available, MySQL can support strings from pretty well any language, or from all languages together. As well as saving you a lot of fiddling with different character sets, Unicode promises to be a major factor for new developments in XML, in other computer languages, and in international Internet connectivity.

*) New key cache for MyISAM tables with many tunable parameters. You can have multiple key caches, preload index into caches for batches...

*) Table names and column names now are stored in UTF8. This makes MySQL more flexible, but might cause some problems upgrading if you have table or column names that use characters outside of the standard 7-bit US-ASCII range.

*) Service renamed: from 4.14 on mysqld has been renamed to mysqld-debug and mysqld-opt has been renamed to mysqld.
For more on the MySQL Windows Service: Install MySQL as a Service

*) New Configuration Wizard starting with 4.1

Reference:
What's New MySQL 4.1

See Server Changes section at Upgrading from MySQL 4.0 to 4.1