I typically create figures using Matlab and incorporate the eps files in my pdf file. Matlab print function does not correctly embed the fonts in the pdf file. However, there are many ways of generating eps files in Matlab with correctly embedded fonts:
http://www.mathworks.com/matlabcentral/newsreader/view_thread/172388
Here is another link that I found useful:
http://do.whileloop.org/soft/tricks/pdflatex-fonts.php