UTF-16LE solution for CSV for Excel by Eugene Murai works well:
$unicode_str_for_Excel = chr(255).chr(254).mb_convert_encoding( $utf8_str, 'UTF-16LE', 'UTF-8');
However, then Excel on Mac OS X doesn't identify columns properly and its puts each whole row in its own cell. In order to fix that, use TAB "\\t" character as CSV delimiter rather than comma or colon.
You may also want to use HTTP encoding header, such as
header( "Content-type: application/vnd.ms-excel; charset=UTF-16LE" );