Within the gui, you can change the font using Edit -> Select Font, or just use the command
:set guifont=*.
Once you have a font you like, you'd like to make it the default in the future. Do
:set guifont?
and Vim will display something like
guifont=Lucida_console:h11.
Make a note of this string. Now put a line in your .vimrc setting guifont to this value. Done!
Note: Do not forget to escape blanks in the font name with \