Well, the problem lies in the old LANG environment variable. R expects it provide it with the LOCALE settings to use, and within an Aquamacs/ESS session, you'll get this:
Sys.getenv('LANG')
LANG ""
which means that the session will use the default "C" locale (I think). Not very useful for UTF-8 text, as you'll get lots of funny looking double characters.
The solution is to do this in your terminal:
defaults write ~/.MacOSX/environment LANG sv_SE.UTF-8(for instance, for Swedish locale and UTF-8 encoding) and re-login. (Log out and log in again)
defaults write ~/.MacOSX/environment LC_ALL sv_SE.UTF-8
This will push the same settings to R and Aquamacs, and the settings will stay. Nice! Finally we can all start using Emacs again :-)