Idle seems indeed to do a hard job to find a font that can display the 
character.
On my machine (WinXP sp3, French) there are many fonts, but only "Myriad 
Web" can display \N{LATIN CAPITAL LETTER SHARP S}.

I was surprised that the "Character Map" application does not display 
it. To find which font was used to display this character, I used 
Microsoft Word: paste the character (from Idle), select the text, open 
the Font chooser dialog box, and scroll through the polices until it 
displays correctly in the "Preview" pane.