Whether the font is anti-aliased or not depends on the operating system settings, not on the font itself.

That said, I do notice that some custom web fonts look ugly on Windows due to the very crisp quality of the rendering engine, especially when Cleartype is enabled. Those fonts look a lot better on Linux and Mac browsers.

Therefore, whenever I choose to use a custom web font and know that my target audience includes Windows users I give more attention to selecting a proper font and testing how it renders on the page.

I encourage the use of embedded fonts over traditional techniques such as image replacement, because the text looks and behaves the same as it would in other applications on the user's computer.

(I'm a developer doing some design on the side)