Discussed here:
http://typophile.com/node/119332

For Adobe, Thomas Phinney put together some Latin character sets of increasing levels of linguistic inclusiveness:
http://blog.typekit.com/2008/08/28/extended_latin/

Small caps are a different matter. They aren't included in any character set; they are alternate glyphs for the regular letters.

Very helpful. Thanks. I have one more question though. Do I have to explicitly include the 0000–001F and the 0080–009F control characters? And what to put in them design-wise, or leave them empty?

Thanks!

Leave the control characters alone. If you've double-clicked a cell in those ranges and given it a blank glyph, delete it again.

Note that for those Adobe character sets I recently made matching FontLab .enc files, which can be handy.
http://www.thomasphinney.com/2014/03/fontlab-latin-encoding/
All the standard Adobe Latin and Cyrillic character sets, based on the latest info from my former colleagues.

One thing you didn't mention in your original post is what type of design you are doing. If it is a display font, Small Caps may not be appropriate whereas with a text face, they likely would be. Having said that, it is not an ironclad rule because some display faces would merit having Small Caps.

Examine current designs done by others that are similar and use those as a starting point.

I figured it's wise to follow some standard, especially that it's my first typeface. After consideration I decided to go with Adobe Latin 4. I'm working on a rather decorative display type. I've been thinking and you're right, I will actually skip the small caps for this typeface. Also no weight or width variants, it wouldn't suit this typeface.

If I may, I have one more question. How to approach the combing characters, there are some in the Latin 4 set. What do they do? Is this some kind of automatic combining of say diacritics with base glyph, or one can do so manually when using the font? I don't understand the purpose, what combining characters are and do.

Thanks so much!

A combining mark has zero advance width, and its glyph outline is set to the left of the start. This makes it appear over the previous character when it is typed. Try to position it for the width of an ideal average lowercase character; the results will often be inexact.

Awesome, it's clear now. How about the Spacing modifier letters? Do these also have some special usage/function or these are just ordinary glyphs? The term Spacing modifier letters confuses me, I don't understand it (I'm not a native English speaker, so maybe that's why :-).

Many thanks!

This thread should help: http://www.typophile.com/node/113866