An old rule of thumb is simply that sans-serif fonts are easier to read on screen while serif fonts are easier in print. As far as specifics, e.g. Arial vs Verdana vs Helvetica vs etc., depends what the user's machine has installed.
As for embedded fonts, think of users who might have to download all that onto a mobile device - NOT a user friendly site insofar as bandwidth is concerned. And if it is a way non-standard font, you may want to use an image to keep it consistent.