It seems everybody is suffering with this. There are a number of posting about how to hack the DB to change the default locale from 1033. Nothing is guaranteed to wind up the users more.

I thought I would check (for my own sanity) what the locale settings are on my servers and just try to bottom out a misconfiguration issue ahead of assuming it is a bug.

MOSS should have inherited the locale setting correctly shouldn't it? Time to go and check what is going wrong.

1. Check the Time zone setting on at the web application level (in Manage Web Application Settings). Yes, set correctly.
2. Check the locale of the computer. This is set correctly in Regional settings control panel applet. Yes, also set correctly.
3. The Microsoft help (http://office.microsoft.com/en-us/sharepointserver/HA101774731033.aspx) refers to the default language of the site collection. Right. How exactly do I set that then? Well you can't from the UI. What you can set is the regional setting on a per site basis and you change the top level site and then all new sites will inherit this setting. Old sites will retain their locale settings. You can do this for portal sites and team site site collections.
4. Ok, browse via the Site Settings or http://siteurl/_layouts/regionalsetng.aspx URL. Don't forget to check the "subsites inherit these regional settings" if you see it (portal).
5. Ok, the Site Collection root site now has the correct locale and new sites do indeed inherit correctly. That stinks. Why was "English (US)" the default locale in MOSS when it wasn't anywhere else?
6. Are all Site Collections similarly flawed? What locale is the My Site? Broken. Not very surprising but what a pain. My sites are really flawed (each my site is a site collection hence all users have to reset locale manually!)
7. Is this just as bad if you are French, Swedish, etc or just a pain if you are a "non-US English" English speaker?

Apparently it is. I just found the following thread. http://suguk.org/forums/2/3774/ShowThread.aspx

Bah.