In swift 5,

let font = UIFont.systemFont(ofSize: 16)
UISegmentedControl.appearance().setTitleTextAttributes([NSAttributedString.Key.font: font], for: .normal)

 UISegmentedControl.appearance().setTitleTextAttributes(NSDictionary(objects: [UIFont.systemFont(ofSize: 16.0)],
                                                                        forKeys: [kCTFontAttributeName as! NSCopying]) as? [AnyHashable : Any],
                                                           for: UIControlState.normal)

Swift 4

let font = UIFont.systemFont(ofSize: 16)
UISegmentedControl.setTitleTextAttributes([NSFontAttributeName: font], for: .normal)

Correct answer for 2021. The syntax changed.

The 12 year old answer (even the edits to it) is broken.

It's just:

let _font = UIFont.systemFont(ofSize: 10)
UISegmentedControl.appearance()
 .setTitleTextAttributes([NSAttributedString.Key.font: _font], for: .normal)

It's very likely you will want to change the height correctly while you are at it:

import UIKit

class SmallerSegmentedControl: UISegmentedControl {

    override init(frame: CGRect) {
        super.init(frame: frame)
        common()
    }

    required init?(coder aDecoder: NSCoder) {
        super.init(coder: aDecoder)
        common()
    }

    func common() {
        let _font = UIFont.systemFont(ofSize: 10)
        UISegmentedControl.appearance()
         .setTitleTextAttributes([NSAttributedString.Key.font: _font], for: .normal)
    }

    override var intrinsicContentSize:CGSize {
        var s = super.intrinsicContentSize
        s.height = 24
        return s
    }

}