8-bit Regex Engines
When working with a legacy (obsolete?) regular expression engine that works on 8-bit data only, you can't use Unicode escapes like \u20AC. \x80 is all you have. Note that even modern engines have legacy modes. The popular regex library PCRE, for example, runs as an 8-bit engine by default. You need to explicitly enable UTF-8 support if you want to use Unicode features. When you do, PCRE also expects you to convert your subject strings to UTF-8.
When crafting a regular expression for an 8-bit engine, you'll have to take into account which character set or code page you'll be working with. 8-bit regex engines just don't care. If you type \x80 into your regex, it will match any byte 80h, regardless of what that byte represents. That'll be the euro symbol in a Windows 1252 text file, a control code in a Latin-1 file, and the digit zero in an EBCDIC file.
Even for literal characters in your regex, you'll have to match up the encoding you're using in the regular expression with the subject encoding. If your application is using the Latin-1 code page, and you use the regex À, it'll match Ŕ when you search through a Latin-2 text file. The application would duly display this as À on the screen, because it's using the wrong code page. This problem is not really specific to regular expressions. You'll encounter it any time you're working with files and applications that use different 8-bit encodings.
So when working with 8-bit data, open the actual data you're working with in a hex editor. See the bytes being used, and specify those in your regular expression.
Where it gets really hairy is if you're processing Unicode files with an 8-bit engine. Let's go back to our text file with just a euro symbol. When saved as little endian UTF-16 (called "Unicode" on Windows), an 8-bit regex engine will see two bytes AC 20 (remember that little endian reverses the bytes). When saved as UTF-8 (which has no endianness), our 8-bit engine will see three bytes E2 82 AC. You'd need \xE2\x82\xAC to match the euro symbol in an UTF-8 file with an 8-bit regex engine.