Because font choice can communicate a lot. Font choice can establish a brand, font choice can create a mood.
Web fonts are better than the stuff people did to do this in the old days. Crazy abominations like siFR [1] or rendering out a gif of your text and using that instead of just delivering some ASCII text that screenreaders can deal with? Web fonts aren't perfect, especially on slow connections, but they're the least horrible solution we have for people who would like to control the finer aesthetic details of how their sites look.