How to set the font for a \section title (and chapter etc)

For the standard classes titlesec would be my choice. Here's an example using titlesec and the standard formatting/spacing, except that the font is changed to Helvetica (Arial has been derived from it) and the font color for demonstration. Adjust the \titleformat arguments to achieve what you desire.

\documentclass{report} 
\usepackage[english]{babel}
\usepackage{blindtext}
\usepackage{mathptmx}% Times Roman font
\usepackage[scaled=.90]{helvet}% Helvetica, served as a model for arial
\usepackage{xcolor}
\usepackage{titlesec}
\titleformat{\chapter}[display]
  {\normalfont\sffamily\huge\bfseries\color{blue}}
  {\chaptertitlename\ \thechapter}{20pt}{\Huge}
\titleformat{\section}
  {\normalfont\sffamily\Large\bfseries\color{cyan}}
  {\thesection}{1em}{}
\begin{document}
\Blinddocument
\end{document}

With KOMA-Script classes it's easy as many other issues, just use \setkomafont and \addtokomafont. Here's the example:

\documentclass{scrreprt} 
\usepackage[english]{babel}
\usepackage{blindtext}
\usepackage{mathptmx}% Times Roman font
\usepackage[scaled=.90]{helvet}% Helvetica, served as a model for arial
\usepackage{xcolor}
\usepackage{titlesec}
\setkomafont{chapter}{\normalfont\huge\sffamily\bfseries\color{blue}}
\addtokomafont{section}{\color{cyan}}
\begin{document}
\Blinddocument
\end{document}

Depending on the level of customization you want, pick one of the following, in decreasing order of power/difficulty:

• read the Latex Companion and get your hands dirty programming
• titlesec package
• sectsty package
• fncychap package
• memoir document class.