My solution to the problem:
1. Backup the "Data" folder located under "Steam\steamapps\common\fallout new vegas" -simply copy it to a new location or rename it
2. Open properties for Fallout New Vegas by right-clicking on it in Steam
3. Find the language tab and change the language from English to eg. German and click Close
Steam will now download the files needed for the game to run in German
4. When the new language files has been downloaded - check if the game starts up in your selected language
Not working?
4a. If you only hear sound and have no video, exit the game (ALT+F4) (happened to me). Re-download all the files within the "fallout new vegas folder" simply by deleting the files from the folder. DO NOT delete the Data folder, we need that later on.
4b. Run the "verify cache" in steam
Got it working, head on to step 5.
5. Exit the game
6. Go to 'Steam\steamapps\common\fallout new vegas' and replace the Data folder with the one you backed up in step 1
7. Run the game from Steam
Side effects:
Fallout New Vegas Launcher is now in German
In the Pip-Boy 3000 the "Items" menu has changed name to something in German
Otherwise everything works fine
My specs:
Windows 7 64-bit
4 GB RAM
nVidia Geforce gt 540M 1 GB