On the Sony Readers, you can put a font on the device and then reference it in the CSS of each ePub (which you can add via Calibre). Detailed instructions are in post #18 of
ePub custom Fonts on 700, 505, 500, 300, 600.
It is also possible to hack the firmware to add a generic CSS over-ride for all ePubs on the Sony Readers (e.g. to replace the limited defaults fonts with better ones), but the above, one ePub at a time, approach may be all you need.