An explanation: 2010 World Cup team nicknames

Algeria -  Les Fennecs (The Desert Foxes)
Why: Algeria is over 80% desert. The Fennec (Arabic for fox) is a small nocturnal fox found in northern Africa.

Argentina - La Albicelestes (The White & Sky Blue)
Why: The colors of the stripes on their jerseys, and on the Argentina flag.

Australia - Socceroos
Why: Soccer + Kangaroos = Socceroos.

Brazil - Seleção (The Selection), Canarinhos (Little Canary), Verde e Amarelo (Green and Yellow), the Samba Kings.
Why: The Selection is self-explanatory. The jerseys are canary yellow with green trim. Samba Kings is a reference to both Brazil's style of play, and a Brazilian style of dance. Apparently they are the kings at both.

Cameroon - Les Lions Indomptables (The Indomitable Lions)
Plenty of lions in Cameroon, not many of whom are particularly submissive.

Chile - La Roja (The Red), El Equipo de Todos (Everbody's Team)
Why: Red is the color of the Chile jersey, and they're Everybody's Team because most neutrals enjoy their attacking style.

Côte d'Ivoire (Ivory Coast) - Les Elephants (The Elephants)
Why: The Ivory Coast was once home to thousands of elephants, and a roaring ivory trade. Now there are only a few hundred elephants left. Because of the previously roaring ivory trade.

Denmark - Danish Dynamite, Olsen-Banden (The Olsen Gang), Olsen's Elleve (Olsen's Eleven)
Why: The brilliant Denmark team of the 1980s was called Danish Dynamite, while the current are nicknamed after coach Morten Olsen. Sounds like a short term strategy for a nickname, but Olsen has been in charge since the year 2000. Plus Olsen's Eleven is a world class pun.

England - The Three Lions
Why: There are three lions on the Football Association crest, in reference to the total number of lions ever spotted in England. Or because of the English coat of arms.

France - Les Bleus (The Blues)
Why: France's jerseys are blue.

Germany - Nationalmannschaft (National Team)
Why: Because it's true.

Ghana - The Black Stars
Why: There's a massive black star in the middle of the Ghanaian flag.

Greece - Galanoleyki (blue and white), To Piratiko (The Pirate Ship)
Why: Blue and white are the colors of the jersey and the flag. The Pirate Ship was a nickname earned at Euro 2004, when Greek commentator Georgios Helakis referenced a boat in host nation Portugal's opening ceremony and said Greece should "become pirates and steal the victory". Which they did.

Honduras - Los Catrachos
Why: Because that's how other Central Americans refer to Hondurans, in honor of General Xatruch.

Italy - Azzurri (Sky Blues)
Why: Because Italy's jerseys are blue.

Japan - Blue Samurai
Why: Jerseys are blue, and Samurai were "the military nobility in pre-Industrial Japan." Also, Samurai sounds badass.

Mexico - El Tri (The Three)
Why: Three colors of the Mexican flag are green, white and red.

Netherlands - The Oranje (The Orange), sometime La Naranja Mecanica (Clockwork Orange)
Why: Orange is the national color of the Netherlands and the color of their jerseys, all of which can be traced back to the House of Orange-Nassau royal family. Clockwork Orange is - I believe - half a reference to Anthony Burgess' novel, half a reference to Total Football.

North Korea - The Chollima
Why: The Chollima, or "thousand mile horse", is part of Korean mythology.

New Zealand - The All Whites
Why: Racism. No, not really. The famous New Zealand rugby union team go Johnny Cash and wear black head to toe, and so are known as The All Blacks. To differentiate themselves the soccer team has wears all white.

Nigeria - The Super Eagles
Why: The Nigerian Football Federation crest features an eagle perched atop a football. A super eagle.

Paraguay - La Albirroja (The White-Red), Guaraní.
Why: The jerseys are white and red, while the Guaraní are a people indigenous to Paraguay.

Portugal - Selecção das Quinas (Team of the Five)
Why: Refers to the five shields on both the Portuguese Football Federation crest and Portuguese flag, representing the five kings conquered by King Alfonso I.

Serbia - Beli Orlovi (The White Eagles)
Why: The Serbian coat of arms features a double headed (mutant?) white eagle.

Slovakia: Repre
Why: A lack of imagination? Repre is short for reprezentacny tim (representative team).

Slovenia: Zmajceki (Dragons).
Why: The coat of arms of capital city Ljubljana features a giant dragon sitting atop a castle.

South Africa - Bafana Bafana (The Boys The Boys)
Why: A term of endearment. Even after the 3-0 defeat to Uruguay.

South Korea - The Taeguk Warriors
Why: Taeguk is a Korean symbol of balance. The yin and the yang. You can see it in the center of the Korean flag.

Spain - La Furia Roja (The Red Fury)
Why: Red jerseys. Furious red jerseys.

Switzerland - The Schweizer Nati (The Swiss National Team)
Why: Because nicknames are hard to come by if you spend all your time being neutral.

Uruguay - La Celeste (The Sky Blue)
Why: Sky blue jerseys.

USA - The Yanks
Why: Shortening of Yankees, a colloquial term for Americans.