You can use, i.e. specify FontFamily for your choice of font, if the font is installed on your system the font will be embedded:

?? FontFamily

FontFamily is an option for Style and Cell that specifies the font family in which text should be rendered.  >>

Attributes[FontFamily]={Protected}

.

SetDirectory@NotebookDirectory[];

.

plot = Plot[
  {Sin[x], Cos[x]}
  , {x, -\[Pi], \[Pi]}
  , FrameLabel -> {{y, Sin[x]}, {x, "plot"}}
  , LabelStyle -> {FontFamily -> "Times", 14, GrayLevel[0]}
  , PlotTheme -> "Detailed"
  , FrameTicks -> {Range[-\[Pi], \[Pi], \[Pi]/2], Automatic}
  ]

Export["test.pdf", plot]

You can use, i.e. specify FontFamily for your choice of font, if the font is installed on your system the font will be embedded:

?? FontFamily

FontFamily is an option for Style and Cell that specifies the font family in which text should be rendered.  >>

Attributes[FontFamily]={Protected}

.

SetDirectory@NotebookDirectory[];

.

plot = Plot[
  {Sin[x], Cos[x]}
  , {x, -\[Pi], \[Pi]}
  , FrameLabel -> {{y, Sin[x]}, {x, "plot"}}
  , LabelStyle -> {FontFamily -> "Times", 14, GrayLevel[0]}
  , PlotTheme -> "Detailed"
  , FrameTicks -> {Range[-\[Pi], \[Pi], \[Pi]/2], Automatic}
  ]

Export["test.pdf", plot]

Edit

As @Verbeia justly remarks, I should answer the question in full, with V9 one can use

plot = Plot[{Sin[x], Cos[x]}
  , {x, -\[Pi], \[Pi]}
  , Frame -> True
  , FrameLabel -> {{y, Sin[x]}, {x, "This is a Plot"}}
  , LabelStyle -> {FontFamily -> "Times", 14, GrayLevel[0]}
  , FrameTicks -> {Range[-\[Pi], \[Pi], \[Pi]/2], Automatic}]

The most standard fonts are correctly embedded. One advantage is to use fonts that have a matured character level of mathematic characters.