While it would be nice if there was a cross-browser cross-platform font downloading system for the web, the current system of Cascading Style Sheets isn’t too bad. It does allow you to select a number of fonts that the browser can cascade through.
This gives you the option to select fonts that fit the look you’re after, but may not be widely available. You can cascade down to fonts that are more widely available fonts.
Or you may wish to use a font that is available on only one platform. In such a case you could check to see if there are similar fonts available in other systems which can be used as a fallback. You can check the commonly available fonts on various systems in this font list. This will also flag the fonts not available on your computer.
If you want to check the similarity between a number of fonts to narrow your choices or to determine the order of the cascade, this font comparer will help your decision.