Modify all tables in a database with a single command
No, there is no such command. But what you can do is write a quick query to generate the SQL for you like so:

USE INFORMATION_SCHEMA;
SELECT 
CONCAT("ALTER TABLE `", TABLE_SCHEMA,"`.`", TABLE_NAME, "` CONVERT TO CHARACTER SET UTF8;") 
AS MySQLCMD FROM TABLES 
WHERE TABLE_SCHEMA = "your_schema_goes_here";


Then you can run the output from this to do what you need.

Sources:

http://forums.mysql.com/read.php?20,244395,244421#msg-244421