That's right, fonts are not created equal. People create different kinds of fonts for all kinds of reasons: to convey a message, for decoration, embellishment, or as iconography.
The theory is, if you use a 'lighter' font (with a lighter stroke), you'll use slightly less ink per page. Based on the assumption that you're only printing with inkjet printers that use the old-style cartridges (not ink tanks, and not toner-based laser printers), you'll likely save about 10 percent ink by switching to one of the lighter fonts.
Of course, the flip side to this argument is that as a home consumer, you'll never print enough volumes to actually see a benefit.