Install built-in system languages I open Settings->Language and keyboard->Samsung Keypad->Input languages and there is a very limited range of languages there.

In my friend's phone there are more locales I'd like to support in my phone, is this possible (not via installing an external keyboard like MultiLing Keyboard etc.), in my friend's phone, my native language appears there and is integrated in the system.

Note: I've just rooted my phone.
If your question is about global language support, you might want to check How do I add a new language?

If you however simply refer to keyboard layouts: This very much depends on the keyboard/IME used. There is e.g. TouchPal Keyboard available on the playstore -- and also a lot of language packs for e.g. Hebrew, Spanish, Russian, or even handwriting. Same applies to some other keyboard apps, like e.g. AnySoftKeyboard (which even offers a pack for BB-Codes used in forums), Ice Cream Sandwich Keyboard, Perfect Keyboard, and others.

Though your question says you are probably rather looking for the former: If it is just for the keyboard, the latter is the easier approach. While installing a complete language pack may provide you with support for your language in other apps, you should be aware the language must also be explicitly supported by that app itself.