It's usually a bad idea to pick a font based exclusively on how it fits your game's setting. A showy font is potentially annoying to a player, and on the off-chance that the font is comfortable to read, it won't really contribute anything to the game's overall feel. Remember Chrono Trigger? Amazing game with great atmosphere, but just a simple sans-serif font. If Square had tried to tweak that font to better match the atmosphere, it wouldn't have done much -- and it probably wouldn't be so comfortable to read, either.
Basically, the font is there so that people can read the words you write. They're not really important to the feel or the atmosphere of the game, so your only real concerns involving fonts should be whether the font matches the windowskin, and whether or not it's comfortably legible.