But I do need to say that third-party fonts are not the problem here, or shouldn't be. Neither Google Fonts[1] nor Typekit[2] sets cookies. I don't know off the top of my hand if any of the other services do, but if so I would agree it's a good reason not to use them.
Disclosure: I helped launch Google Fonts and was involved in the decisions to make it privacy-friendly.
[1] https://developers.google.com/fonts/faq#what_does_using_the_...