I don't remember whether this is a known bug or a design flaw, but you currently end up with the default system locale when using LightDM with automatic login on Arch.

My fix until today has been to configure my window manager, awesome, using the Lua-POSIX modules to set the desired locale via rc.lua like this:

-- fix locale
pox = require("posix")
pox.setenv("LC_ALL", "de_DE.UTF-8")
pox.setenv("LANG", "de_DE.UTF-8")

When I switched to i3 yesterday I ended up with the wrong locale again. Searching the net I stumbled upon this article which made me set up ~/.pam_environment to contain my locale:

LC_ALL=de_DE.UTF-8
LANG=de_DE.UTF-8

Guess what, works like a charm :)