I caught the last bit of an interesting item on NPR radio as I was driving to work this morning on Morning Edition
“Linguist Christopher J. Moore has made a career of searching out some of the world's most "untranslatable" expressions -- words from around the globe that defy an easy translation into English.”

I’m looking forward to reading the rest. I’m off to e-mail a request for the book from my local librarian. Good thing it’s almost lunchtime.

Here are 3 examples:

African Languages
ilunga (Tshiluba) [ee-Iun-ga] (noun)
This word from the Tshiluba language of the Republic of Congo has topped a list drawn up with the help of one thousand translators as the most untranslatable word in the world. It describes a person who is ready to forgive any transgression a first time and then to tolerate it for a second time, but never for a third time.

Arabic
taarradhin [tah-rah-deen] (noun)
Arabic has no word for "compromise" in the sense of reaching an arrangement via struggle and disagreement. But a much happier concept, taarradhin, exists in Arabic. It implies a happy solution for everyone, an "I win, you win." It's a way of resolving a problem without anyone losing face.

French
esprit de I'escalier [es-pree de less-ka/-iay] (idiom)
A witty remark that occurs to you too late, literally on the way down the stairs. The Oxford Dictionary of Quotations defines esprit de l'escalier as, "An untranslatable phrase, the meaning of which is that one only thinks on one's way downstairs of the smart retort one might have made in the drawing room."

http://www.npr.org/templates/story/story.php?storyId=4457805