I received this question during a webcast recently.  It is very easy to embed a Font into a Windows Phone 7 Application.  I grabbed a random font from a free Font web site to ensure I had a Font that is not on my system.  I dropped the Font into a Folder named Assets:

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Next I configured the Font as a Resource in the Properties tool window:

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You can easily configure the font in Visual Studio 2010 or in Expression Blend 4 for Windows Phone by configuring the Text property to the Embedded Font: (Expression Blend shown below):

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Results in the Visual Studio designer and in the Windows Phone Emulator:

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