Steam is a very good place to purchase games from for language-learning purposes (as opposed to your local stores). First off, you need to check if the game supports the language you want to learn. While this is something LanguageQuesters’ specializes in (with our language gaming chart), it is also a good idea to check it out on Steam since you’d be purchasing the game from there; and Steam doesn’t always list all the available languages (usually but not always).
To do that, when you click a game in Steam’s store, scroll down and look at the the right side panel; you will see a list:
After confirming that Steam lists your game, open your steam client (if you don’t have one, just download it from their website). Then, click on Library->Games
Right click the game on the left side bar -> properties -> Click on the language -> Choose the language you want the game to be in
If the game was fully localized to your target language (by fully localized I mean audio+text), then the game will need a while to update while it downloads all the audio files. Once the audio files have been downloaded, you can simply click “Play” (or however “play” is written in your target language) and voila! The game should appear in your target language.
This is of course still doesn’t guarantee that it would be possible to play the game with a different subtitles language.
Please post in the comments section if you run into any problems with any specific games