What I believe to be a new change to SharePoint 2010 is the addition of some error checking around Regional Settings and indexed columns in lists. When you try to change the regional settings and sort order to something with a different collation type (sorting based on a-Z0-9, or 'a' is bigger than 'A' type of stuff), you will get an error about the indexed columns. Being that I have turned on all site and site collection features, several lists have been created with indexed columns.
Moral of the story is, you MUST set the sort order of the site FIRST, before you add any indexed columns and turn on any site and site collection features. If you don't, then you are in for a few hours of work to remove them and then add them all back!