The fonts that came of the box was pretty sad. Well after googling around, most have the opinion that font rendering is better in Linux than in Windows, though I don't really know why that is.
Anyhow I installed the msfonts and then modified the font characteristics in KMenu->SystemSettings->Appearance->Fonts.
Check out the screenshot below:
And well I'm pretty happy with the fonts on me linux system ;) !! I set up the Firefox fonts too, although I'm not too happy with that, it good enough.