Can I specify the language of specific parts of my page?


As an example, let's suppose I want to write the following. 'The french word bonjour means hello in english.' My sites language is english, but I would like screen readers to know that 'bonjour' is written in french. Is that something I should even bother with?


Yes, you can, and yes you should! The same way you specific the language of the document in the HTML tag with lang="en" you can specify the language of individual elements the same way! Consider your example:
<p>The french word <span lang="fr">bonjour</span> means hello in english.</p>