I can create folder with special characters (example
mkdir Öäväaä), but ls -l in terminal shows
WinScp and mc shows it right (Öäväaä). How can i make terminal to show me right characters?
It depends on what terminal you're using, but if you're using the default one in Ubuntu you should be able to edit the terminal settings and change the encoding. Since it's a problem isolated to the terminal app, it's probably a setting error, and most likely encoding.
I'm not running Ubuntu right now so I'm not sure where it's located, but I'm pretty sure it's somewhere around Edit > Preferences or similar, around where you change things like background color and font for the terminal. I'd suggest switching to UTF-8 and see if that fixes your problem.