I'm having a very similar problem. I've gone through the various steps suggested here, and it seems to make no difference. Let me be more precise:
System preferences>Language & Text>Language now has 'British English' at the top of the list.
System preferences>Language & Text>Text now has 'British English' in the Spelling frame.
Mail>edit>Spelling & Grammar>Show Spelling & Grammar> shows 'British English' as the language option.
I've closed and re-opened Mail and it seems to remember British English.
All of this seems fine, but for the fact that it still puts red dotted lines under 'behaviour' and 'colour'. The spell checker reports 'This word was not found in the spelling dictionary'. The checker seems happy with 'color'.
Where to now?