I get this result as well in both V8 and V9.
Product[n^MoebiusMu[n], {n, 1, Infinity}]
(* Out: 1/(4*Pi^2) *)
It's a simple fact, though, that an infinite product can converge to a non-zero value only if the general term tends to 1. As MoebiusMu takes each of the values $\pm 1$ (as well as zero) infinitly often, this product simply can't converge.
We can also relate an infinite product to an infinte sum by applying the logarithm - for this particular product:
$$\log\left(\prod_{n=1}^{\infty} n^{\mu(n)}\right) = \sum_{n=1}^{\infty} \mu(n)\log(n).$$
So, maybe we should examine the following sum sum.
Sum[MoebiusMu[n] Log[n], {n, 1, Infinity}]
(* Out: -2*Log[2*Pi] *)
Well, that didn't help! Perhaps these bugs are related? At least the convergence of infinite sums is a bit more elementary; clearly, $\mu(n)\log(n)$ does not converge to zero. Perhaps, we could try a numerical test:
NSum[MoebiusMu[n] Log[n], {n, 1, Infinity}]
(* Out: -0.387985 *)
Damn. Well, let's at least examine some partial sums.
ListLinePlot[Accumulate[Table[MoebiusMu[n] N@Log[n], {n, 1, 1000}]]]

Well, that certainly doesn't look convergent - because, of course, it isn't.
Maybe @DanielLichtblau could shed some light on this. Most likelly I think, he'll say it's just a bug.
Tally[MoebiusMu /@ Range[1, 10^7]]gives{{1, 3040164}, {-1, 3039127}, {0, 3920709}}indicates that the even factors have a slight edge, and would likely not converge unless some interesting cancellation was occurring. I don't know enough aboutMoebiusMuto know if the interesting cancellation is correct, or not. – rcollyer Mar 12 at 12:55