You can change your preferred server region at the login screen, but also in-game in the Gameplay section of the Settings window.
If you are the leader of a party, you can change what region all servers for your party will be in by going to the Party tab of the Social menu (hotkey H by default). You can use this to pick a region that is between you and your party members to avoid large differences in latency, for example.
When you change your region setting in-game, the region of your current server won't change. The next time you request a new server it will be in your new preferred region. Monolith and Arena gameplay happens on a single server, so you will need to go to another type of zone first for the change to apply.