Refer to the last 20 or so comments to:
For an updated version of this tutorial in PDF format, please see this page of my website.[/b...">[TUT] [SOFT] Using the USART - Interrupt driven serial comms
115200 baud fails on an Arduino UNO, Nano and Mega2560 which all use the ATMega16U2. This is tested with some sample codes posted in the comments of the Tutorial.
76800 baud works on all three.
115200 baud works on Chinese VISduino UNO R3 and a Chinese Nano style board which use the CH340.
1000000 baud works on an Arduino UNO and Mega2560 (I don't have an Arduino Nano) and also on the Chinese VISduino and Nano style boards.