mysqldump -u root --routines --default-character-set=cp1251 --comments tst >tst.dmp

...
/*!50003 SET character_set_client  = cp1251 */ ;
/*!50003 SET character_set_results = cp1251 */ ;
/*!50003 SET collation_connection  = cp1251_general_ci */ ;
/*!50003 SET @saved_sql_mode       = @@sql_mode */ ;
/*!50003 SET sql_mode              = '' */ ;
DELIMITER ;;
/*!50003 CREATE*/ /*!50020 DEFINER=`root`@`localhost`*/ /*!50003 FUNCTION `t`() RETURNS varchar(10) CHARSET cp1251
    COMMENT 'тест'
begin
-- тест
 return 'тест';
end */;;
...

mysql> show create function t;
+----------+----------+----------------------------------------------------------------------------------------------------------------------------------------------+----------------------+----------------------+--------------------+
| Function | sql_mode | Create Function                                                                                                                              | character_set_client | collation_connection | Database Collation |
+----------+----------+----------------------------------------------------------------------------------------------------------------------------------------------+----------------------+----------------------+--------------------+
| t        |          | CREATE DEFINER=`root`@`localhost` FUNCTION `t`() RETURNS varchar(10) CHARSET cp1251
    COMMENT 'тест'
begin
-- тест
 return 'тест';
end | cp1251               | cp1251_general_ci    | cp1251_general_ci  |
+----------+----------+----------------------------------------------------------------------------------------------------------------------------------------------+----------------------+----------------------+--------------------+

[deti@www tst]$ cat t.sql
drop function if exists t;
delimiter //
create function t() returns varchar(10) charset cp1251 comment 'тест'
begin
-- тест
 return 'тест';
end
//
[deti@www tst]$ mysql -u root --comments tst < t.sql
[deti@www tst]$ mysql -u root tst -e "select t();"
+------+
| t()  |
+------+
| тест |
+------+

[deti@www tst]$ locale
LANG=ru_RU.cp1251
LC_CTYPE="ru_RU.cp1251"
LC_NUMERIC="ru_RU.cp1251"
LC_TIME="ru_RU.cp1251"
LC_COLLATE="ru_RU.cp1251"
LC_MONETARY="ru_RU.cp1251"
LC_MESSAGES="ru_RU.cp1251"
LC_PAPER="ru_RU.cp1251"
LC_NAME="ru_RU.cp1251"
LC_ADDRESS="ru_RU.cp1251"
LC_TELEPHONE="ru_RU.cp1251"
LC_MEASUREMENT="ru_RU.cp1251"
LC_IDENTIFICATION="ru_RU.cp1251"
LC_ALL=ru_RU.cp1251
[deti@www tst]$

[deti@www tst]$ mysql -u root tst
Welcome to the MySQL monitor.  Commands end with ; or \g.
Your MySQL connection id is 1605
Server version: 5.1.52 Source distribution

Copyright (c) 2000, 2010, Oracle and/or its affiliates. All rights reserved.
This software comes with ABSOLUTELY NO WARRANTY. This is free software,
and you are welcome to modify and redistribute it under the GPL v2 license

Type 'help;' or '\h' for help. Type '\c' to clear the current input statement.

mysql> show variables like 'character%';
+--------------------------+----------------------------+
| Variable_name            | Value                      |
+--------------------------+----------------------------+
| character_set_client     | cp1251                     |
| character_set_connection | cp1251                     |
| character_set_database   | cp1251                     |
| character_set_filesystem | binary                     |
| character_set_results    | cp1251                     |
| character_set_server     | latin1                     |
| character_set_system     | utf8                       |
| character_sets_dir       | /usr/share/mysql/charsets/ |
+--------------------------+----------------------------+
8 rows in set (0.00 sec)

mysql>