How do I convert a String to Double in Java using a specific locale?

Try java.text.NumberFormat. From the Javadocs:

To format a number for a different Locale, specify it in the call to getInstance.

NumberFormat nf = NumberFormat.getInstance(Locale.FRENCH);

You can also use a NumberFormat to parse numbers:

myNumber = nf.parse(myString);

parse() returns a Number; so to get a double, you must call myNumber.doubleValue():

    double myNumber = nf.parse(myString).doubleValue();

Note that parse() will never return null, so this cannot cause a NullPointerException. Instead, parse throws a checked ParseException if it fails.

Edit: I originally said that there was another way to convert to double: cast the result to Double and use unboxing. I thought that since a general-purpose instance of NumberFormat was being used (per the Javadocs for getInstance), it would always return a Double. But DJClayworth points out that the Javadocs for parse(String, ParsePosition) (which is called by parse(String)) say that a Long is returned if possible. Therefore, casting the result to Double is unsafe and should not be tried!
Thanks, DJClayworth!