I had an idea of downloading the Spanish version of Fallout 3 because it's cheap now and I can practice my Spanish without having to import an expensive disc. I assume I can only download it from the Spain store, so do I just have to change my region on my console?
No, to access a specific region's marketplace, you must use an account from that region (so a Spain account would be required to access the Spain marketplace), not just set your console to that region.
On top of that, some marketplace content is IP blocked, meaning you would have to have a Spain IP address to download any content on the Spain marketplace that is IP blocked, and, there is of course the ever present factor of region-blocking, meaning you better make damn sure that the content will play on your console before purchasing it.
Even with a Spanish account, with a Spanish IP address, you still may not be able actually play content from the Spanish marketplace, if it is region-locked and your console doesn't match the content's region (For instance, unless the Spanish version of FO3 is region-free, it isn't going to play on a US console [I'm not sure if all PAL region consoles can play all PAL region games, or if you would have to get a Spanish console to play a Spanish game, a UK console to play a UK game, a German console to play a German game, etc, etc, etc]).
R.I.P. Eve English (Feb. 12, 1968 - Oct. 13, 2010) Momma Eve, you will be missed.