If you are reading this on a Windozer, you may be able to use an alt code to type non-Latin symbols. Using the numberpad, hit Alt+228 and release.
That may have produced a different character. If so, your system has been configured to use code page that is not 437, probably for a different language or region.
You can change the code page by changing the 'format' option (the dropdown box) under the 'Formats' tab at 'Control Panel' -> 'Region and Language'. There are alternatives to changing the code page, though.
Unicode input method platform
It may be worth noting that this is only the configuration I use. Other input methods may support `u.
This works on Windows 7.
Go to 'Control Panel' -> 'Region and Language'.
On the 'Keyboards and Languages' tab, press the 'Change Keyboards' button.
A new window should have appeared. Press the 'Add' button.
You should now see a list of languages with their countries. Under 'Chinese (Traditional, Taiwan)' check the box labeled 'Chinese (Traditional) - New Phonetic', and then OK.
Select the field that says 'Chinese (Traditional, Taiwan)', and then press 'Properties'.
Under the 'Advanced' tab, there should be a table mapping property names to your setting. Change the 'Leading key' field to the backtick (`) and then OK.
Now, in the window that was opened in step 2, go to the 'Advanced Key Settings' tab. Change the key sequence for 'Chinese (Traditional) IME - Ime/NonIme Toggle' to Ctrl+Space.
Save the changes. Logout and back in if nothing happened.
Open your favourite text editor, hit Ctrl+Space, and type `u03a3, a space, and then hit ↵ Enter. A sigma should have appeared at the caret position.
You can switch out of this input method by hitting Ctrl+Space again.
Linux
Gnome
There are two common methods for direct input of Unicode characters. These methods will not work with SCIM installed.
Hold Ctrl+⇧ Shift and type u followed by 03a3. Then release Ctrl + Shift.
Enter Ctrl+⇧ Shift+u, then type 03a3, and press ↵ Enter or Space.
SCIM
Installing SCIM will remove the capability described above. There is a package, scim-rawcode, that imitates that feature. You can set Ctrl+⇧ Shift+u to be the shortcut for switching to the rawcode input method. After switching to rawcode, you can type 03a3, and press ↵ Enter or Space.
Compose
Certain Linux machines have Greek compose files preinstalled. If Greek compose files are installed, you can press Compose+G+S one at a time to type out the sigma. If you do not have a Greek compose file, get one here.
Mac
Hold Ctrl+⌘ Cmd+Space and type u+03a3. You can then either select the character with the mouse or press ↓ and hit ↵ Enter.
Typing ⌥ Option+W will produce ∑, which is the Unicode summation symbol. This looks similar to Σ, but is a distinct character.