ESP8266 and Arduino Interfacing
There is a new command for the ESP8266 in AT version:0.50.0.0 - SDK version:1.4.0 that lets you explicitly set the full UART configuration:

AT+UART_CUR – set the current UART configuration
This command sets the current UART configuration; it does not write to the flash. Hence there is no change in the default baud rate.

For example:

AT+UART_CUR=9600,8,1,0,0