sIFR is probably one of the most amazing scripts I've seen lately. Developed by Mike Davidson and Mark Wubben, it allows you to change the fonts used in your website to custom fonts without having to worry about them in the user's computer.
Those flash movies take the font you selected and the text that the script found and create a static "animation" with the same text and size but with the new font. Since they are overlayed exactly over the original text, no change is noticed.
The only thing I'm afraid won't work fine is the background color. If you have a solid background it will work perfectly probably, but what if you use a textured background, like I do in this blog? I haven't tested it yet, but their test page works perfectly on solid backgrounds…
As a piece of advice don't over-use it, it is intended only for headlines, quotes, and other small bits of text.
Right after I found this tool I thought to my self, "I have to create a WP plugin that will automatically change selected tags or ids to themed fonts!". So well, I am developing now the plugin.
I started today so I guess it will take me no longer that this Sunday. I have about three days, considering that here in Spain we are on holidays… Yea I know, Spain is always on holidays!
UPDATE: 15-Sept-2014 The plugin was finished, released, used by quite a lot of people, and then discontinued. Back then it was quite a revolutionary idea, and it allowed designers to use complex custom fonts easily on their WordPress sites. I stopped maintaining the plugin when CSS got better and sIFR was no longer needed.