Changing the font in the main menu only effects TXT, DOC and similar formats (e.g. HTML). It also changes the font in most in-book menus (but not the min menus). I use a bold font to get more legible menus.
You can also change fonts, on a per book basis, for MOBI and FB2 - but these work a bit differently from the main menu font option.
There is currently no way to change the font for an ePub. Part of the problem is that an ePub can have embedded fonts, and these can't be overridden easily. However, it is a limitation of Adobe Digital Editions that you can't even change the default font. So if an ePub does not have embedded fonts, it will typically always use the default serif font. If the ePub is DRM-free, Calibre can change from the default serif font to sans-serif. I also make the font bold and left-justify rather than fully-justify. I do this using the command line, but the GUI should be able to do this too:
ebook-convert in.epub out.epub --dont-justify --extra-css my.css
where my.css is:
You can do the same for DRMed ePubs if you first strip the DRM (encryption), see Adobe ADEPT DRM for EPUB circumvented