On Linux I input special characters using the Compose key. Works everywhere, not just in Vim.
Windows really needs X11 compose key sequences. Yes, I use Linux, but also Windows.
WinCompose offers this. I find it slightly buggy with caps as compose, but it works well enough and it can read an XCompose config file. (It does not honor XCompose includes IIRC, you have to merge everything into one file.)