How do I change the font size of small text in OpenTTD?

There are two options available to you that solve this problem:

1. Game options

In the Game Options screen, accessed either through the main menu or from the gear icon in your toolbar, there is a dropdown menu that allows you to set the font size to Automatic, Normal, Double and Quadruple. Do note that this will affect all text, including text elements that have font sizes there's nothing wrong with.

However, if you'd rather only change the font size on those tiny labels..

2. OpenTTD.cfg

The OpenTTD.cfg file, located in the %HOMEPATH%\Documents\OpenTTD\ folder, contains all the configuration variables used by your OpenTTD installation. You can change the font size of the small text used by labels and in the map UI by changing the following two variables:

small_font
small_size

By default, small_font is empty, and small_size is set at 0. The size variables are only used when a font is defined, so setting the two variables like so:

small_font = Arial Bold
small_size = 10

Changes the font used on small text elements to something much more comfortable (click for full sizes):

I find that Arial Bold at 10px works really well, but it's worth experimenting a bit. Additionally you can also enable anti-aliasing by setting small_aa to true if that's something you fancy: