When I press Ctrl+Shift+u and type numbers, nothing happens. Holding down Control or Shift doesn't help, either.
I've tried running
sudo dpkg-reconfigure keyboard-configuration, but that didn't solve the problem.
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It hasn't stopped working in general, but the way it works may have led you to think that it has stopped working. When one types Ctrl+Shift+u an underscored letter u appears at the insertion point. This may lead a person (e.g., myself, at first) to think that he has entered an underscored letter u, whereas in fact the underscored letter u indicates the Unicode-entry mode has been activated. If one subsequently keys in a Unicode code point (i.e., the hexadecimal numeral for the character) and hits Enter then the unicode character will appear.
For example, Ctrl+Shift+u 2764Enter inserts a "heavy black heart" Unicode character.
The reason why entering Ctrl+Shift+u, Unicode hexadecimal number, Enter or Space stop working in Ubuntu 15.10+ is because input method is by default XIM instead of iBus (which is odd since XIM is obsolete and iBus already implement XIM protocol). By changing this they broke this useful shortcut.
To fix it go to:
On GNOME Shell (17.10+, check with
wmctrl -m): Settings → Region & Language → Manage Installed Languages*
On Unity: System Settings... → Language Support