Why do I see "Operation was denied because the current credentials do not have the appropriate privileges" when trying to chsh?

I ran into this problem a moment ago. I can confirm that /etc/shells listed '/bin/zsh', so David Schwartz's answer did not apply to my case. Macworld has a tip for Mac OS 10.5 and it appears to work for 10.6, too. Let's duplicate the link's info!

To change the login shell of your account in Leopard, do this...

Control-click on your account name in the Accounts pane of System Preferences and choose Advanced Options in the contextual menu that appears (you'll have to unlock the pane first, by clicking the lock icon).

In the resulting Advanced Options screen, either type in the path to your preferred shell, or choose among the various shells already installed in /bin: bash, tcsh, sh, csh, zsh, or ksh. Finally, click on OK.

The note at the top of the Advanced Options screen claims you have to restart for the change to take effect, but you really just need to log out and back in again.