This has been a (popular) complaint since the style sheets were changed in Version 9. I had a lot of discussions with Wolfram people at that time, especially since the switch was made so late in the beta testing.
As David points out, you can change the font for text cells. I change mine to a serifed font -- which one depends on whether I need to share with others. I also change all the other styles, especially the titles and sections. Arial is a really ugly typeface. I should point out that for the on-line training documents of that time (version 6-8), the trainers would most often prepare their notebooks to go along with the training using Georgia. This font has an addition advantage of having old style figures.
You really can't change the font for Input, at least not without bad things happening. However, I think that this is just Courier. When I code for other languages, I have always used a different font, such as Menlo (Apple's current font for source code), or even Monaco, that has been designed to make it easy to tell the difference between I, l, and 1, and 0 and O. Unfortunately, if you substitute for this font in this style, bad things happen.
I haven't checked the "Code" style, but it probably has the same restrictions.
When programming, I would like to be able to change the font for any code related styles (Input and Code), or if that is not possible, to have a typeface (e.g. Menlo, ProFont, etc.) that has been designed with the programmer in mind.
When sharing documents, I would like to have a better thought out set of default style sheets. I would also like to be able to embed fonts in a document (especially CDF), so that I can share documents made with less common fonts. The style sheets for earlier versions of Mathematica were not perfect, but were useful and aesthetically pleasing enough to use without modification.
I hope that someone at Wolfram Research is looking at this (and other similar discussions), because I think it is an improvement that needs to be made sooner than later.
