You won't get people to install a font on their machine. That leaves you two choices... and, I'm assuming we're talking a headline font, not a body/content font...
1. use something like CG-FlashyTitles, which leverages the "sIFR" approach to replacing text on-the-fly on the client side with a Flash movie that renders characters in a 'flash font file'. you'd have to convert the font you want, but if you read up on sIFR there are guides to doing that (and, there are now free tools, I believe, that don't require you even have Flash).
2. use one of the image-based-replacement techniques, which on the >server< side take your text, your specified font (which would reside on the server), and render up a JPG or something that is inserted in place of the text. There's at least one or two WP plugins that use that approach, and certainly a ton of open PHP code out there describing how to do it yourself.