Coming from #507502-33: (needs documentation) Provide Locale support for jQuery UI, instead of patching core, I did this:

/**
 * Implementation of hook_library_alter()
 *
 * Support localized date picker. See drupal.org/node/507502#comment-4534106.
 */
function my_module_library_alter(&$libraries, $module) {
  global $language;

  if ($module == 'system' && isset($libraries['ui.datepicker'])) {
    $datepicker = drupal_get_path('module', 'locale') . '/locale.datepicker.js';
    $libraries['ui.datepicker']['js'][$datepicker] = array('scope' => 'footer', 'group' => JS_THEME);
    $libraries['ui.datepicker']['js'][] = array(
      'data' => array(
        'jqueryuidatepicker' => array(
          'rtl' => $language->direction == LANGUAGE_RTL,
          'firstDay' => variable_get('date_first_day', 0),
        ),
      ),
      'type' => 'setting',
    );
  }

}

This could probably be tweaked to less intrusive, but until that D7 patch lands, I thought maybe others could use this option.