Aside from jailbreaking there's no way to change the font on the iPhone (short of making it larger or smaller and/or bold).
The ability to change the system font is one of the most egregious thing which Apple is withholding from users
Truly, what harm can someone do with this?
I don't tweak this setting much (tending to favor legibility and ease of reading above at else). but the ability to change things up is a nice one.
Here, I changed to the Muli font - it's a subtle change and the calendar is easier to read because of it.
The home screen and keyboard: