Hi,
I ran into this issue using version 3.0.0 stable, so I thought I'd share. Example: Dutch locale (nl):
first you set something like this in your getCMSFields()
...
$fields->addFieldToTab('Root.MyTab', $date = new DateField('Date', 'MyDate'));
...
$date->setConfig('showcalendar', true);
$date->setConfig('jslocale', 'nl');
$date->setConfig('dateformat','dd-MM-yyyy');
Next you need to have a regional file be present for the desired language. At the moment these are not (yet) included in the SilverStripe distribution. Get them here: http://jquery-ui.googlecode.com/svn/trunk/ui/i18n/
SilverStripe expects this file to live in /framework/thirdparty/jquery-ui/minified/i18n/jquery.ui.datepicker-nl.min.js (note the .min in the name)
Ticket here: http://open.silverstripe.org/ticket/7610
Martine