1. Once logged into SharePoint, click on your name in the top-right corner and choose “My Settings”

2. On your Settings page, click the “My Regional Settings” link
3. On the Regional Settings page, uncheck the “Always follow web settings” checkbox and set the “Time Zone” field to the one you would like. Click OK when you are finished.

Originally posted on the Project Leadership blog at http://www.projectleadership.net/blogs_details.php?id=2895 - the original post is no longer available.
Update: The above post applies to SharePoint 2010 and older. In Office 365, go to the gear at the very top of the screen and look for "Language and time zone"