This article is in the early stages.
The technology is still not settled and has various issues still. Web Fonts are recommended for personal sites and not commercial. Even then, Web Fonts are recommended for header. For the body, use traditional web safe font families.
As an alternative to using web fonts consider using the traditional css technique but with new font families. The concept is that there are some new fonts that are now pretty much staples in operating systems today that can be used to create newer font families.
Examples of Custom Web Fonts
The Best of FontFonts on the Web - Top picks from FontSHOP.
Recommend Hosted Solutions
FontSpring
Provides local hosting option.
FontSpring provides formats to work with older browsers http://www.fontspring.com/fontface and have auto-hinting to ensure the font looks nice on Windows.
Even though web fonts are quite prolific, some custom IE6 installs at some banks may break web fonts. Fontspring works with IE6.
To document, there's a flash as the font changes... what browsers and how that happens.
FontsLive
FontsLive has a very neat feature where you can load up your site and preview fonts. Provides local hosting option for both http and https.
FontSHOP
FontSHOP has a very large selection. At the moment they seem to be larger than FontSpring. However, they offer a monthly subscription version that they host themselves.
References
2010 article on various options - http://robots.thoughtbot.com/post/673335945/the-mess-of-web-font-services
Another good list - http://nisha.in/web-font
Google web fonts - http://www.google.com/webfonts#ChoosePlace:select