Fonts are indeed in the ROM BIOS of the video card. Since MS-DOS 3.3 you can replace or enhance the codepage 437 fonts, on older DOS you were pretty much stuck with these, at least in the DOS shell. WHile all cards could potentiall bring loads of awesome fonts they were all more or less a copy of IBM's original OEM fonts.
BTW - the ROM BIOS fonts only affect the boot loader up to WIndows ME. Since Windows 2000/NT the bootloader typically loads EGA.CPI - so your boot menu would lose the cool OEM font.
If you dont like the new font you can reflash your video ROM BIOS with some nicer font. Instructions here:
http://www.procon.com.au/HVVCBIOS.htm