We demonstrate that yttrium iron garnet microspheres support optical whispering gallery modes similar to those in non-magnetic dielectric materials. The direction of the ferromagnetic moment tunes both the resonant frequency via the Voigt effect as well as the degree of polarization rotation via the Faraday effect. An understanding of the magneto-optical coupling in whispering gallery modes, where the propagation direction rotates with respect to the magnetization, is fundamental to the emerging field of cavity optomagnonics.