How to get Ctrl+Arrow working for programs running in tmux?

The key combination of Ctrl+arrow key is often used for skipping forward or backward whole words. This can be used in the bash command line, Emacs and many other programs. However, when I am using tmux, this will not work. You can fix this, by adding the following to your ~/.tmux.conf:

set-window-option -g xterm-keys on
This was explained in a nice superuser Q&A.
You can interactively try out tmux commands by hitting C-b : — this will enter the command mode. You can use tab to complete commands.