It is also possible to change fonts on the Linux console. Most of what I said about X terminal fonts would probably apply to Solaris, OS X, and the BSDs, but anything about the console is probably specific to Linux - and possibly even the distribution I'm using (Debian at the moment). I don't have machines running other distributions to test on.
With current (2007) versions of Debian, the "console-data" package supplies a number of console fonts in /usr/share/consolefonts/. Look at this directory, and use the setfont command to set a new console font. For example, setfont gr737-9x16-medieval will give a particularly spectacular example. On Debian, setfont knows to look in the /usr/share/consolefonts/ directory if no path is supplied. There are several caveats: you may find yourself with garbage on your screen, and sometimes fonts that pack more than 25 lines on the screen don't mix well with switching between X and the console. In either case, the proper response is to type setfont (without parameters) blindly, and the console will be reset to its default font.
Some of these console fonts (including "medieval") are VGA fonts and include the line draw characters mentioned previously - this will affect the appearance of your prompts if you rely on line draw characters.