I just wanted to mention that while orientability for cohomology with arbitrary coefficients is governed solely by cohomology with coefficients in ℤ, there are other cohomology theories for which is is not true. For example, if you have an action of $pi_1(X)$ on an abelian group M, then you can talk about (co)homology with twisted coefficients in M. For any vector bundle there is a coefficient module such that the bundle is orientable with respect to these twisted coefficients (or, to paraphrase Matthew Ando, "every bundle is orientable if you're twisted enough").
Also, one can ask whether a vector bundle is orientable with respect to topological K-theory, real or complex, or many other generalized cohomology theories, which capture interesting information about the manifold.
So while ℤ/m-coefficients may not be the most interesting coefficient systems to study orientability in, they're part of a larger systematic family of questions (and they don't take much extra work if you're already doing ℤ and ℤ/2-coefficients).
Finally, for something like real coefficients you might think of orientations that differ by a real scalar geometrically, e.g. according to some volume form.
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