Depends on the font. Many of the better fonts are indeed copyrighted and are (like music, stock video, etc…) licensed for use. Go into your fonts folder and double click on the font and you can see information about the font in question (look at this for American Garamond – Notice the copyright – http://birdcat.com/video/ag1.jpg).
I do not believe you have to worry about using the font as long as it’s properly licensed (i.e. you acquired it legally) but I am not a lawyer and if you need to know for certain I would strongly suggest you speak to an intellectual property attorney.
