I'm still more or less getting confused about these local and language settings.

Why do they do?
Why would I change them?
Should they ever be changed?

What's with these warnings like:

perl: warning: Setting locale failed.
perl: warning: Please check that your locale settings:
LANGUAGE = (unset),
LC_ALL = (unset),
LANG = "c"
are supported and installed on your system.
perl: warning: Falling back to the standard locale ("C").
--------

The above one I get starting nagios but I get em in different things, they don't seem to however have much effect on functionality?

If you use other language than english you'll need to set local settings. Some GUI programs have different menus for some languages and the use the lang variables to check this (i.e. gaim)

Nope, only use English, machine is set to Australia though. And not running any gui stuff, pure console based system.