Embedding a font implies that the entire font, i.e. every single character of the font, is copied into your PDF document. This is particularly useful if your document needs to be displayed and printed on a different computer, which may not have the same fonts installed.
Furthermore, if the entire font is embedded, you can still edit the text in the PDF document on a computer that does not have the font installed. Note that embedding an entire font – a standard roman font typically contains 256 characters – will increase the file size of the PDF document by 30 to 40 KB for PostScript Type 1 fonts, or more for TrueType fonts.
Some fonts cannot be embedded due to font licensing restrictions.