There is a workaround for not being able to install fonts on Windows: if you load them in the font viewer, other applications will be able to use them too, until you close the font viewer. I just checked, and it is possible to do this with Type 1 fonts: just double click on the .pfm file (which, unlike the .pfb file, will have a nice fonty icon).
It works for me with a fully updated Tex Live 2010. Do not use the Ubuntu texlive packages when you want to use fontspec (or any other modern packages). The version in Ubuntu are now more than a year and a half old, and thus have many bugs that have long since been fixed. Install TeX Live directly.
There are a few other things worth pointing out:
The manual says (in section 4.2)
[You may have fonts outside of] your system’s font directories.
As ~/.fonts is a system font directory, you can load fonts by name from there.
I think fontspec loads the Latin Modern fonts by default. If you want to load them explicitly it is more convenient to load them from your systems TEXMF tree (TeX Live should include those fonts).
\fontspec in the preamble doesn't affect anything, as it changes the current font, and there is no current font in the preamble. Use \setmainfont instead.
In summary, to load the LM Roman 10 font explicitly from the TeX Live font dirs you should use
Note that the TeX Live font directories are searched automatically. You should probably do analogous things with \setsansfont and \setmonofont. Also, you will probably want to add the Ligatures=TeX option.
[Remark: XeLaTeX from MikTeX and LuaLaTeX on all systems can load fonts from the TEXMF tree by name.]
Best Answer
If you follow the link that I provided in my comment then you get to this overview site:
There is a big link saying Calligraphical and Handwritten Fonts which leads to this:
What else do you expect? In addition the comment of barbara-beeton also provides handwritten fonts.