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 a current (2009) version of Debian testing, the "console-data" package supplies a number of console fonts in /usr/share/consolefonts/. Look at this directory, and use the setfont or consolechars commands to set a new console font. For example, setfont gr737-9x16-medieval or consolechars -f gr737-9x16-medieval will give a particularly spectacular example. consolechars is part of the console-tools package on Debian, which appears to be installed by default. setfont is part of the kbd package, which appears to conflict with console-tools so they can't be installed at the same time. On Debian, these commands know 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. I'm afraid I don't know as quick a solution for consolechars so it would be wise to set up a short and memorable alias before playing much.
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.