Which is really what it boils down to in many cases. So many fonts as many have already said in this thread are made for print, and JUST print... Screen lacks the resolution and detail for those fonts to look good; sometimes that level of detail also results in fonts that are too massive (anything >64k IMHO) to be deployed on websites.
A lot of it is also that many people making fonts don't entirely grasp the technology or practices -- it's why when you declare different fonts at the same font-size you can end up with all sorts of different heights and widths -- A LOT of font designers don't obey the caps-line, base-line, x-height, mean-line, or any of the other bits that you are supposed to stay inside when building a character... things that if followed prevent those sorts of issues. Look at the font the OP was trying to use -- the top of every glyph is 2 to 5% over the stated caps-line or mean-line, which is why all the renderers are showing just a single pixel at the top of every glyph; they think the top of each arc is a serif and not part of the core glyph. You run an arc up to the ascender line, it's going to be anti-aliased as a serif instead of an arc.
For those of you unfamiliar with the terminology, there's a great picture here explaining it:
You don't follow the conventions it often still looks fine at 1200dpi... at the physical 75 to 96 ppi of most displays, not so much. (did you know most 14" displays people ran at 800x600 and most 1024x768 LCD's are actually 72-75 physical dpi, not the 96 most OS assume? Only with recent LCD's have we gotten to that 96 physical ppi, which an increasing number of people are bumping to 120dpi OS setting for being too small)
I mean think on that -- 72 to 96 physical DPI with fonts meant for 300 to 1200dpi output; of COURSE they look bad.