Have you ever gone to a site and all the type appeared in
a strange, hard to read font? The reason is because they specified a font on their computer that you don't have on yours.
Your browser tries to find a similar font, but browsers are really bad at this, and often choose the worst possible font, instead of the best.
It's tempting to choose any font from your hard disk and use it on your web site. But your site visitors won't see it, unless they have that font installed.
That's a big problem. But there are solutions.