Is it possible to change the locale of my device?

On my Android phone, when I go to Settings -> Language and Keyboard Settings -> Select Language, I see "Locale" as the title on the top row and see that only a few languages are listed. I suspect it's because of this "Locale" setting. Where can I change it so that all supported languages will be listed? Under Settings -> Language & Keyboard, I don't see a "Locale" option.