git: list of all changed files including those in submodules

Update 2017: as I mentioned in “see diff of commit on submodule in gitlab”,

• Git 2.11 (Nov. 2016) introduces

  git diff --submodule=diff
  

• Git 2.14 (Q3 2017) will improve that by recursing into nested submodules.
  See commit 5a52214 (04 May 2017) by Stefan Beller (stefanbeller).
  ^{(Merged by Junio C Hamano — gitster — in commit a531ecf, 29 May 2017)}

Original 2012 answer (pre 2017 Git 2.14)

Maybe a simple line would be enough:

git submodule foreach --recursive git diff --name-status

That would actually list files in submodules within submodules.
(The --recursive option comes from git1.7.3+)