You can use the \substack command from the amsmath package, like this:
\begin{equation}
d(\vec{x},\vec{y}) =
\sum_{\substack{Z_{xy}\in\vec{Z}_{xy}\\
\forall x\in\vec{x}\\
\forall y\in\vec{y}}}
f(Z_{xy})
\end{equation}
However, the result still doesn’t look good, because of the extra spacing around the sum symbol:

To fix this, you can use the \mathclap command from the mathtools package, like this:
\begin{equation}
d(\vec{x},\vec{y}) =
\sum_{\mathclap{\substack{Z_{xy}\in\vec{Z}_{xy}\\
\forall x\in\vec{x}\\
\forall y\in\vec{y}}}}
f(Z_{xy})
\end{equation}

But perhaps you might be happy using only \mathclap, and not \substack. The result looks good as long as the subscript is not too wide.
\begin{equation}
d(\vec{x},\vec{y}) =
\sum_{\mathclap{{Z_{xy}\in\vec{Z}_{xy},
\forall x\in\vec{x},
\forall y\in\vec{y}}}} f(Z_{xy})
\end{equation}

The mathtools package also have several other useful commands for typesetting mathematics, including more commands for improving the display of subscripts and superscripts. I very much recommend taking a look at its documentation.
\begin{equation} d(\vec{x},\vec{y})= \sum_{Z_{xy}\in\vec{Z}_{xy}} f(Z_{xy}),\forall x\in\vec{x},\forall y\in\vec{y} \end{equation}– MiMo Jun 10 '12 at 10:34forallis not the same asover all. Withforallthe author is relying on the reader's understanding for bad notation. – percusse Jun 10 '12 at 13:18\forallis definitely misused. – egreg Jun 10 '12 at 13:33