It's been my experience with char set issues that when I've created the database using the hosting companies control panel, the database gets set up using a default setting. Often, with myHosting.com, the default for whatever reason has been swedish. My solution is to get the database established, use phpAdmin and change the char set to whatever you need it to be, BEFORE installing MODx. You can certainly modify the char set of you mySQL database after a MODx install, however, it's a super tedious process.
I always utf8 unicode. utf8_unicode_ci
In terms of MODx then not being able to set up the database and get past the database portion of the setup during the install of MODx? In my cases, this has been a user name issue. If you're trying to host at goDaddy, they have a misleading—at least it was to me— naming system where you give your database a name and a "friendly" name. The "friendly name" is only for the purposes of the goDaddy control panel. When I tried to use that "friendly" name as the name of the database during the MODx install, the result was the error about MODx not being able to create the database.....
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The default charset and collation for MySQL is latin1, latin1_swedish_ci. This can be changed in the MySQL configuration file (my.conf) but nobody ever seems to do that, even though utf8 would be a much more sensible default.
http://dev.mysql.com/doc/refman/5.0/en/charset-applications.html
That's exactly what I discovered. In my scenario I find it easiest now to take care of the char set and collation FIRST. Then install MODx.
In my first encounter with this situation, I deleted all of the MODx installed files and started over. In my case, there are always a couple of folders and files installed by MODx that ONLY the hosting tech support is able to delete.
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That is because PHP is being run as an Apache module, so the .php files (in the case of installing MODx, the /setup/index.php file) are run as the Apache user. Any files and directories created by those php scripts will be owned by the Apache user, so your FTP user can't delete them.
You should be able to delete them using your hosting control panel's file manager.
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Ugly. That's why I have for years made sure to only host with providers that use PHP as a CGI/FastCGI processor, or at least some form of "suexec" where the user of a script is switched to the user of the script file's owner (in our case, it would be your FTP user). I actually found that A2 and SkyToaster are at least no more expensive than the "usual" cheap hosting plans (like FatCow or GoDaddy), and certainly more reliable.