In the early days of the web we were limited to so-called web-safe fonts like:
Palatino Linotype, Book Antiqua, Palatino, serif
Times New Roman, Times, serif
Arial, Helvetica, sans-serif
Arial Black, Gadget, sans-serif
Comic Sans MS, cursive, sans-serif
Impact, Charcoal, sans-serif
Lucida Sans Unicode, Lucia Grande, sans-serif
Tahoma, Geneva, sans-serif
Trebuchet MS, Helvetica, sans-serif
Verdana, Geneva, sans-serif
Courier New, Courier, monospace
Lucida Console, Monaco, monospace
If you weren't satisfied with the list of web-safe fonts then you could use a graphical tool like Photoshop and make a graphical image with one of the thousands of fonts available. The only downside is that these graphical images were not really found by search engines, and updates took time and effort to create by a graphical designer.
The number one search engine company in the world is the darling of web developers and they offer another free way to add fancy fonts to your web site.
Not to be outdone by the big guns, there's a smaller site that offers a third way to use most any font on your web site.
Fonts can help further refine the look and feel of your web site, so they are a big deal from a design and impact point of view. You now have several ways to get fancy fonts onto your web site.