set gvim font in .vimrc file
I use the following (Uses Consolas size 11 on Windows, Menlo Regular size 14 on Mac OS X and Inconsolata size 12 everywhere else):
if has("gui_running")
if has("gui_gtk2")
set guifont=Inconsolata\ 12
elseif has("gui_macvim")
set guifont=Menlo\ Regular:h14
elseif has("gui_win32")
set guifont=Consolas:h11:cANSI
endif
endif
Edit: And while you're at it, you could take a look at Coding Horror's Programming Fonts blog post.
Edit²: Added MacVim.
Try setting your font from the menu and then typing
:set guifont?
This should display to you the string that Vim has set this option to. You'll need to escape any spaces.