How to make sure that the correct locales for your system has been generated. Most questions/problems are answered in the locale-gen man-page.

[edit] Debian

To generate locales on Lenny you need to do:

aptitude install locales
dpkg-reconfigure locales

[edit] Ubuntu

To specify which locales to generate edit:

/var/lib/locales/supported.d/local

I use the following for US English and and Swedish:

en_US.UTF-8
sv_se.UTF-8

Then run locale-gen to regenerate all locales.

You can also do locale-gen sv_SE.UTF-8 to just create the locale that you're missing, in this case sv_SE.UTF-8.