Generally I prefer the dialogue to be in English, but there have been exceptions. Some war movies have had the "enemy" speak in their own language, and that can add a bit of credibility to the scene. Mel Brooks movie on the Passion was interesting using Latin and Aramaic (subtitled). For some reason, it wasn't as distracting as I thought it would be.

My wife and I went to an Opera in Peoria sung in Italian (of course), but they had a scrolling translation of the words streaming above the stage where it wasn't distracting and provided a nice touch to the program. A very positive experience.