One of my favorite quotes is, "Eifersucht ist eine Leidenschaft, die mit Eifer sucht, was Leiden schafft."
Okay, so it is translatable, as "Jealousy is a passion which seeks with vigor that which brings suffering." But you don't even have to understand German to see how much more clever it is in the original.
Obviously, puns lose a lot of their effect when translated. And similarly, I feel strongly that opera and poetry---other forms of art in which much depends on words fitting together just so---can only be fully appreciated in their original languages. It simply is not possible, in the vast majority of cases, to preserve meaning, meter, and sound simultaneously. The one exception I've found is "O Come, All Ye Faithful," which is a very beautiful and accurate rendition of "Adeste Fideles."