At the Mac Store I asked about how to choose the default language for the Mac OS X. He said that I can anytime change the preferred language from System preferences. But when the MacBook is opened the first time, I get to choose the default language of the OS. Well, when I opened it went through all the setup things, but it didn't ask about the language. Maybe it was the current Country question, but I thought that was only related to the physical location. Now I have different language on login screen and after login.
There are ways to change the default language, but the instructions are for 10.3. Though I guess it's working also on Tiger.
Update: This method doesn't change the language of the login window. Still looking the way how to change that.