To send an e-mail in HTML format, set the body using the method setBodyHTML() instead of setBodyText(). The MIME content type will automatically be set to text/html then. If you use both HTML and Text bodies, a multipart/alternative MIME message will automatically be generated:

$mail = new Zend_Mail();
$mail->setBodyText('My Nice Test Text');
$mail->setBodyHtml('My Nice <b>Test</b> Text');
$mail->setFrom('somebody@example.com', 'Some Sender');
$mail->addTo('somebody_else@example.com', 'Some Recipient');
$mail->setSubject('TestSubject');
$mail->send();