Font files can be very large — commonly 1MB. If your custom font does not compress well, and you do not use it much on your site, you might decide it’s not worth slowing down your page. For example, if you use a bold version of a font in only one place, consider if the cost of loading it is worth it.
Some external services can help with managing font file size sizes, and may possibly serve cached fonts. Two to consider are Google Web Fonts and Typekit.
It is not a good idea to load a custom font to make your logo — it is much more efficient to use a graphic instead. Also, you can’t really control how or if a web font is displayed.