I often see the websites using font \"Helvetica Neue\". Is this font safe to use, like eg. Arial? Or do the browsers have trouble rendering it or not many machines have this fon
You can use http://www.fontsquirrel.com/fontface/generator to encode any font for websites. It'll generate the code to include the font.
I don't really use it for fonts over 30px. They look much better as an image (because images are anti-aliased, and some browsers don't anti-alias fonts in the browser).
See: http://www.truetype-typography.com/ttalias.htm
Hope that helps...