The IntelliJ keymap says:
Zoom in: Keypad + = Zoom out Keypad - - But they have no effect. Anyone have this working?
New info: Now I have added more key-bindings:
Zoom in: Alt-Shift-= Zoom out: Alt-Shift-minus But these still have no effect. Does zoom in/zoom out even work at all in IntelliJ?
711 Answers
You need to look for the Increase Font Size and Decrease Font Size options on the Keymap menu, you can see the options on my screenshot. You will find the Keymap menu under Preferences > Keymap.

Assigning on those will have the expected effect for font zoom.
6Update: This answer is old. Intellij has since added actions to adjust font size. Check out Wilker's answer for assigning the new actions to keymaps.
Try Ctrl+Mouse Wheel which can be enabled under File > Settings... > Editor > General : Change font size (Zoom) with Ctrl+Mouse Wheel
Double click Shift to open the quick actions. Then search for "Decrease Font Size" or "Increase Font Size" and hit Enter. To repeat the action you can doubleclick Shift and Enter
I prefer that way because it works even when you're using not your own Computer without opening settings. Also works without leaving fullscreen, which is useful if you are live coding.
1Update for intellij idea 2017 3.2
Answer for IntelliJ IDEA 2022 and later
As Mark Amery suggested in comment, original answer is no longer working, right now the best way to switch it on is:
Double click shift, type wheel and switch change font size... to ON
Old Answer IntelliJ IDEA 2022.1
Double click shift, type zoom and switch zoom to on
Before User Shift + = or Shift - , you have to first set the key map as mentioned below 
File>Settings...>Editor>General>
then you'll find this in the menu Mouse,
"change the font size(Zoom) with Ctrl+Mouse Wheel"
I assume that you have a similar view regarding the zoom functionality as I have in this picture:

Now if you mark one of the Zoom In/Zoom Out lines and choose Add Keyboard Shortcut:

You will find that this particular shortcut Numpad + is already occupied so there is a conflict:

So you'll just have assign this Zoom In/Zoom Out to some other keyboard shortcut:

- Open
Preferences - Under
Editor→General - Check the checkbox
Change font size with Command + Mouse Wheel - On the editor use ⌘ + Mouse Wheel (or CTRL + Mouse Wheel) to zoom in and out
actually if you press
Ctrl+`
and chose presentation view or one other view, it works pretty well!!
1I like to use CTRL + Mousewheel Up for Font Increase and CTRL + Mousewheel Down for font decrease. It is fast and much simpler.
Ctrl+Alt+S, then search for increase/decrease.
Most programs have Ctrl +/- for "zoom" just works a little differently with IntelliJ
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