First off, this only works in Windows Vista and 7, though if anyone knows of a way to change the system language on Macs/Linux, let me know and I'll add it here.

Vistalizator is a free program that lets you change the system language using the official language packs from Microsoft. Normally you would only be able to do this if you have Windows Ultimate/Enterprise, but with this program, you can do it in all versions of Vista/7. I did it with my computer, and it looks just like a Japanese version of Windows! Good for people doing language immersion, you might not want to do it if more than one person (who doesn't know the language you're studying) has to use your computer though.