[bramstein]

You can, but then you're limited to a single font format and you would not gain any benefits from the browsers' ability to download in parallel.

A lot of this will improve when HTTP/2 becomes more common (you can push resource to the browser and parallel downloads will become more efficient).

[mcgoooo]

I use this technique to great effect, and i would recommend this. Woff i very well supported generally, and then i put a backup to the actual file for the lagging browsers.

http://caniuse.com/#search=woff