Special Characters are not Managed in CSV Export
As @Chris Burgess said it depends on the software you're using the CSV with, but i'll leave a preemptive workaround for MS Excel since we do this pretty often.

This happens with Excel because CiviCRM exports the data in UTF-8 encoding and Excel tries to open it using ANSI by default. If you download your CSV, open and new workbook, and import your data into it as follows, the characters will display correctly:


Save the exported file as a csv 
Open Excel
Import the data using Data-->Import External Data--> Import Data (may vary slightly depending on your version of excel, can be Data-->Get External Data-->From Text button)
Select the file type of "csv" and browse to your file
In the import wizard change the    File_Origin to "65001 UTF"
Change the Delimiter to comma Select where to import to and Finish


A bit of an annoying workaround but I hope this is helpful!