There are two ways of generating scripts in SQL Server 2000's Enterprise Manager. The script generator can save them to a file, or preview them and you can copy/paste into whatever you want. This is the route that I normally go. I did not notice that the final option screen let you specify OEM, ANSI or Unicode, and it defaults to Unicode.
*bang head against wall*
I couldn't find a hex mode in TextPad, turns out that you specify a binary file type in the Open dialog, and then it quite obviously was Unicode.