How do I set the figure title and axes labels font size?

Functions dealing with text like label, title, etc. accept parameters same as matplotlib.text.Text. For the font size you can use size/fontsize:

from matplotlib import pyplot as plt    

fig = plt.figure()
plt.plot(data)
fig.suptitle('test title', fontsize=20)
plt.xlabel('xlabel', fontsize=18)
plt.ylabel('ylabel', fontsize=16)
fig.savefig('test.jpg')

For globally setting title and label sizes, mpl.rcParams contains axes.titlesize and axes.labelsize. (From the page):

axes.titlesize      : large   # fontsize of the axes title
axes.labelsize      : medium  # fontsize of the x any y labels

(As far as I can see, there is no way to set x and y label sizes separately.)

And I see that axes.titlesize does not affect suptitle. I guess, you need to set that manually.

You can also do this globally via a rcParams dictionary:

import matplotlib.pylab as pylab
params = {'legend.fontsize': 'x-large',
          'figure.figsize': (15, 5),
         'axes.labelsize': 'x-large',
         'axes.titlesize':'x-large',
         'xtick.labelsize':'x-large',
         'ytick.labelsize':'x-large'}
pylab.rcParams.update(params)

If you're more used to using ax objects to do your plotting, you might find the ax.xaxis.label.set_size() easier to remember, or at least easier to find using tab in an ipython terminal. It seems to need a redraw operation after to see the effect. For example:

import matplotlib.pyplot as plt

# set up a plot with dummy data
fig, ax = plt.subplots()
x = [0, 1, 2]
y = [0, 3, 9]
ax.plot(x,y)

# title and labels, setting initial sizes
fig.suptitle('test title', fontsize=12)
ax.set_xlabel('xlabel', fontsize=10)
ax.set_ylabel('ylabel', fontsize='medium')   # relative to plt.rcParams['font.size']

# setting label sizes after creation
ax.xaxis.label.set_size(20)
plt.draw()

I don't know of a similar way to set the suptitle size after it's created.

To only modify the title's font (and not the font of the axis) I used this:

import matplotlib.pyplot as plt
fig = plt.Figure()
ax = fig.add_subplot(111)
ax.set_title('My Title', fontdict={'fontsize': 8, 'fontweight': 'medium'})

The fontdict accepts all kwargs from matplotlib.text.Text.