Another good choice: You could e.g. install (and use) Hacker's Keyboard, which has special ConnectBot support even for function keys etc.:
This keyboard is especially useful if you use ConnectBot for SSH access. It provides working Tab/Ctrl/Esc keys, and the arrow keys are essential for devices such as the Xoom tablet or Nexus S that don't have a trackball or D-Pad.
See e.g. the following screenshot, and have a closer look at the "\" key:
Another screenshot is quite self-explaining:
So no need to freak around with copy/pasting from web pages, entering cryptic codes, or the like. Simply use the right keyboard, relax, and enjoy :)