People use things like typekit and fontdeck because it is cheaper than buying the actual fonts and they also provide highly available hosting for decent pricing.
If you want to serve them yourself and pay a one time fee you actually can do that with most of the typekit fonts but the fee is actually much more substantial than the yearly fee for those services.
What I'm really looking forward to though, in term of web typography, is a broader adoption of the font-feature-settings CSS property.