Locale settings are done to configure the correct month and day names for date functions only. The first two characters give the language followed by an underscore, then two Uppercase characters for the country code.
Examples:
de_DE - German, Germany
en_GB - English, Great Britain
en_US - English, United States of America
...
See here for full lists for language codes and country codes.
In addition the language code is taken for to tell search engines in which language an article is written, so that people can find articles in their own language. Search engines can guess, but explicite meta information makes everything easier.