How to specify shell for vim?

Can I specify my shell for vim? I'm running OS X and have zsh installed via Homebrew and am using MacVim. When I type shell in MacVim, the shell opens up as bash. How can I have it open as zsh?

Add or change the following line in ~/.vimrc:

set shell=/path/to/zsh

Not enough reputation for adding a comment, this is meant as a response to @BlackSheep comment in the accepted answer:

Despite the similar syntax, the set shell=/bin/bash does not apply to shell variables, but to variables that are internal to vi, so you can run a shell even if the system's shell for the active user is not a real one.

Also you can use :set shell=/bin/bash then :sh if you don't want to modify ~/.vimrc