For what it's worth, along with running Art's sample code, you can
also see the list of iOS preinstalled fonts at
http://iosfonts.com/.
(Frankly, I find many of their choices puzzling at best. Maybe
explained by attempting parity with desktop OS X.)
The Windows Phone system font is Segoe WP. According to Wikipedia, the
pronunciation is "SEEgo".
It's also worth noting that you need to be VERY aware of the license
terms associated with a particular font when embedding it. Even many
freely available faces (like the excellent Museo) do not allow
embedding in an application. And while webfont licensing is finally
becoming sane(ish), this is still mostly untrodden ground.
Sixten