The new Spinner control introduced in JavaFX 8u40 does not provide mouse wheel support for easy scrolling through the possible values.

This can be added quite easily, but this should work by default.
Code:

        spinner.setOnScroll(event -> {
            if (event.getDeltaY() > 0) {
                spinner.decrement();
            } else if (event.getDeltaY() < 0) {
                spinner.increment();
            }
        });