To select UTF-8 mode for the additional escape sequences (\p{xx}, \P{xx}, and \X) , use the "u" modifier (see http://php.net/manual/en/reference.pcre.pattern.modifiers.php).
I wondered why a German sharp S (ß) was marked as a control character by \p{Cc} and it took me a while to properly read the first sentence: "Since 5.1.0, three additional escape sequences to match generic character types are available when UTF-8 mode is selected. " :-$ and then to find out how to do so.

An excellent article explaining all these properties can be found here: http://www.regular-expressions.info/unicode.html 

Examples are always useful! See https://unicodeplus.com/category for more.
C Other 
Cc Control (Unicode code points in the ranges U+0000-U+001F and U+007F-U+009F)
Cf Format (Soft hyphen (U+00AD), zero width space (U+200B), etc.)
Cn Unassigned (Any code point that is not in the Unicode table)
Co Private use 
Cs Surrogate (Characters in the range U+D800 to U+DFFF, which are invalid in utf-8)
L Letter
Ll Lower case letter (a-z, μßàáâãäåæçèéêëìíîïðñòóôõöøùúûüýþÿ and more)
Lm Modifier letter (Letter-like characters that are usually combined with others, but here they stand alone:
 hɦjrɹɻʁwyʹʺʻʼʽʾʿˀˁˆˇˈˉˊˋˌˍˎˏːˑɣlsxʕˬˮʹ ͅՙ and more)
Lo Other letter (aoƻǀǁǂǃʔ and many more ideographs and letters from unicase alphabets)
Lt Title case letter (DžLjNjDzᾈᾉᾊᾋᾌᾍᾎᾏᾘᾙᾚᾛᾜᾝᾞᾟᾨᾩᾪᾫᾬᾭᾮᾯᾼῌῼ)
Lu Upper case letter (A-Z, ÀÁÂÃÄÅÆÇÈÉÊËÌÍÎÏÐÑÒÓÔÕÖØÙÚÛÜÝÞ and more)
L& Ordinary letter (Any character that has the Lu, Ll, or Lt property)
M Mark
Mc Spacing mark (None in latin scripts)
Me Enclosing mark (Combining enclosing square (U+20DE) like in a⃞ , combining enclosing circle backslash (U+20E0) like in a⃠)
Mn Non-spacing mark (Combining diacritical marks U+0300-U+036f, like the accents on this letter a: áâãāa̅ăȧäảåa̋ǎa̍a̎ȁa̐ȃ)
N Number 
Nd Decimal number (0123456789, ٠١٢٣٤٥٦٧٨٩ and digits in many other scripts.)
Nl Letter number (IIIIIIIVVVIVIIVIIIIXXXIXIILCDMiiiiiiivvviviiviiiixxxixiilcdm and some more)
No Other number (0123456789 0123456789 1⁄21⁄32⁄31⁄43⁄41⁄52⁄53⁄54⁄51⁄65⁄61⁄71⁄83⁄85⁄87⁄81⁄91⁄10 1234567891011121314151617181920, etc.)
P Punctuation 
Pc Connector punctuation (_ underscore (U+005F), ‿ undertie U+203F, ⁀ character tie (U+2040), etc.)
Pd Dash punctuation (- hyphen-minus (U+002D), ‐ hyphen (U+2010), ‐ non-breaking hyphen (U+2011), ‒ figure dash (U+2012),
 – en dash (U+2013), — em dash (U+2014), ― horizontal bar (U+2015), etc.)
Pe Close punctuation (right parenthesis, bracket, or brace: `)` (U+0029), `]` (U+005D), `}` (U+007D), etc.) 
Pf Final punctuation (right quotation marks: » (U+00BB), ’ (U+2019), " (U+201D), etc.)
Pi Initial punctuation (left quotation marks: « (U+00AB), ‘ (U+2018), " (U+201C), etc.)
Po Other punctuation (!"#%&'*,./:;?@\¡§¶·¿)
Ps Open punctuation (left parenthesis, bracket, or brace: `(` (U+0028), `[` (U+005B), `{` (U+007B), etc.) 
S Symbol 
Sc Currency symbol ($¢£¤,円 ₠ ₡ ₢ ₣ ₤ ₥ ₦ ₧ Rs ₩ ₪ ₫ € ₭ ₮ ₯ ₰ ₱ ₲ ₳ ₴ ₵ ₶ ₷ ₸ ₹ ₺ ₻ ₼ ₽ ₾ ₿ (U+20A0-U+20BF), etc.)
Sk Modifier symbol (Symbol-like characters that are usually combined with others, but here they stand alone:
 ^` ̈ ̄ ́ ̧ and more)
Sm Mathematical symbol (+<=&g×ばつ÷϶ and many more)
So Other symbol (¦ broken bar (U+00A6), © copyright sign (U+00A9), ® registered sign (U+00AE), ° degree sign (U+00B0);
 arrows, signs, emojis and many many more)
Z Separator 
Zl Line separator (line separator (U+2028))
Zp Paragraph separator (paragraph separator (U+2029))
Zs Space separator (space, no-break space, en quad, em quad, en space, em space, figure space, thin space, hair space, etc.)

My country, Vietnam, have our own alphabet table:
http://en.wikipedia.org/wiki/Vietnamese_alphabet
I hope PHP will support better than in Vietnamese.

For those who wonder: 'letter_titlecase' applies to digraphs/trigraphs, where capitalization involves only the first letter. 
For example, there are three codepoints for the "LJ" digraph in Unicode: 
 (*) uppercase "LJ": U+01C7 
 (*) titlecase "Lj": U+01C8 
 (*) lowercase "lj": U+01C9

Not made clear in the top of page explanation, but these escaped character classes can be included within square brackets to make a broader character class. For example:
<?php preg_match( '/[\p{N}\p{L}]+/', $data ) ?>

Will match any combination of letters and numbers.

these properties are usualy only available if PCRE is compiled with "--enable-unicode-properties"
if you want to match any word but want to provide a fallback, you can do something like that: 
<?php
if(@preg_match_all('/\p{L}+/u', $str, $arr) {
 // fallback goes here
 // for example just '/\w+/u' for a less acurate match
}
?>