This is only my 2nd post, but i have to say this, CIV4 is super.
Right, now that's over ... I think the units speaking their native language is a great feature. It really adds to the atmosphere, and sucks you into the game. I chose the Germans last night, and it was fantastic to hear them call out "yes sir", in German of course, as i ordered the panzers to attack Egypt. Brilliant.
One of the common German unit responses is "haben sie einen plan?" which translates as "do you have a plan?". Although the answer to this question would have been 'no, not really', it is truely one of those features that makes this game great to play.