Python has a very useful function any() that will iterate over a list
and break on the first matching case.

Now, it would be great to have similar function but with:
a) ability to use a callback for matching test
b) that would return the first match

so something like:

key = first(['es-AR','es','en-US'], lambda x:self._value.has_key(x))

instead of:

for k in ['es-AR','es','en-US']:
    if self._value.has_key(k):
        key = k
        break

It would be also nice to be able to capture the first match and return it:
value = first(['es-AR','es','en-US'], lambda x:self._value[x])

I'm not sure which one is more generically applicable.

Please propose this on the python-ideas list first.

Python already supports that, in the itertools module:

itertools.ifilter(lambda x:self._value.has_key(x),
                  ['es-AR','es','en-US']).next()

We've already got one.  Thanks ;-)