Font Burner makes it possible for you to use new fonts on your website, even if the end user does not have your chosen font(s) on his computer. There is nothing to install, neither on your computer nor on the end user’s, and the thing is free. The archive of offered fonts is really big (more than 1000 fonts). Really cool!
The only caveat is that, as it is using sIFR (Scalable Inman Flash Replacement, see more info) to change the fonts, it is likely rather impractical to use it for anything bigger than headings. Basically it hides the text and puts a Flash file in its place, and that Flash file is able to render the chosen font.