I'm not a big fan of working with fonts in Flex overall. Truetype font file embedding is hit or miss, and even embedding system fonts seems a little unreliable. Likewise, managing character sets (ie. the glyphs to embed) in Flex is quite rudimentary (unicode character codes? editing the global config XML? blech!). These features are manageable within Flex though, even if they are a little ugly.

One font related feature that's completely missing from Flex though is support for creating bitmap fonts. This is a shame, because bitmap fonts are sharp and aliased, and look great at small sizes (ex. 9pt Arial is quite readable as a bitmap font). Fortunately, it's pretty easy to create a bitmap font in Flash, and embed it in Flex. Simply follow these steps:
  1. Create a new FLA, and add a dynamic text field on stage. Set your desired font-family and font-size (this is important, because bitmap fonts are created at a specific size) on the field. Embed the characters you want available, and set anti-aliasing to "Bitmap text".

  2. Select the text field, and convert it into a MovieClip symbol (F8). Choose advanced options, and give the new symbol a linkage id (or class name in Flash 9 alpha / CS3) of "MyFontHolder". We'll use this name to embed the symbol in Flex in order to pull in the font definition.

  3. Save and publish the FLA. Move the SWF into your Flex project.

  4. Embed the symbol into your Flex project 
    [Embed(source="mySWF.swf#MyFontHolder")
private var MyFontHolder:Class;


  5. The font definition will be pulled in with your symbol, and is available for use in styles. The only hitch is that the font will have an auto generated name like "Arial_12pt_st" for a 12 point Arial bitmap font. You will also want to specify your antialiasing type as "normal" to prevent antialiasing, and only use your font at the size it was created (or for oldschool pixel goodness, at multiples thereof). 
    <mx:Style>
   .bitmapFontStyle {
       fontFamily: "Arial_12pt_st";
       fontSize: 12;
       fontAntialiasType: "normal";
    }
</mx:Style>

That's it. I've tried making it work with Flash's Font Symbols instead of the MovieClip Symbol, but haven't been very successful. It's worth noting that Flex does not recognize font symbol names specified in the Flash library.

If you're having trouble finding the name of your embedded font, you can use the following code to quickly iterate through the names of all your embedded fonts in a Flex project: 
var fontList:Array = Font.enumerateFonts(false);
for (var i:uint=0; i<fontList.length; i++) {
    trace("font: "+fontList[i].fontName);
}