Hello again,
Here is what happens when I try to change in the way I mentioned in my first post:
[root@localhost ~]# localedef -i sv_SE -f ISO-8859-1 sv_SE.UTF-8
[root@localhost ~]# export LC_ALL=sv_SE.UTF-8
[root@localhost ~]# export LANG=sv_SE.UTF-8
[root@localhost ~]# locale
LANG=sv_SE.UTF-8
LC_CTYPE="sv_SE.UTF-8"
LC_NUMERIC="sv_SE.UTF-8"
LC_TIME="sv_SE.UTF-8"
LC_COLLATE="sv_SE.UTF-8"
LC_MONETARY="sv_SE.UTF-8"
LC_MESSAGES="sv_SE.UTF-8"
LC_PAPER="sv_SE.UTF-8"
LC_NAME="sv_SE.UTF-8"
LC_ADDRESS="sv_SE.UTF-8"
LC_TELEPHONE="sv_SE.UTF-8"
LC_MEASUREMENT="sv_SE.UTF-8"
LC_IDENTIFICATION="sv_SE.UTF-8"
LC_ALL=sv_SE.UTF-8
[root@localhost ~]# shutdown -r now

Broadcast message from root (pts/0) (Tue Oct 16 13:15:29 2007):

The system is going down for reboot NOW!
login as: root
root@xxx.xxx.xxx.xx's password:
Last login: Tue Oct 16 13:11:38 2007 from xxx.xxx.xxx.xx
[root@localhost ~]# locale
LANG=en_US.UTF-8
LC_CTYPE="en_US.UTF-8"
LC_NUMERIC="en_US.UTF-8"
LC_TIME="en_US.UTF-8"
LC_COLLATE="en_US.UTF-8"
LC_MONETARY="en_US.UTF-8"
LC_MESSAGES="en_US.UTF-8"
LC_PAPER="en_US.UTF-8"
LC_NAME="en_US.UTF-8"
LC_ADDRESS="en_US.UTF-8"
LC_TELEPHONE="en_US.UTF-8"
LC_MEASUREMENT="en_US.UTF-8"
LC_IDENTIFICATION="en_US.UTF-8"
LC_ALL=
[root@localhost ~]#

In other words, after restart it gets back to what it was before and before restart it doesn't have any affect on the system...

/Oskar