Most windows users won't have that font on their computers. Also, you can't just submit it to your server and call it using font-face because this isn't a free font...
And last, but not least, answering the question that nobody mentioned yet, Helvetica and Helvetica Neue do not render well on screen unless they have a really big font-size. You'll find a lot of pages using this font, and in all of them you'll see that the top border of a line of text looks wavy and that some letters look taller than others. In my opinion this is the main reason why you shouldn't use it. There are other options for you to use, like Open Sans.
Helvetica Neue is a paid font, so you shouldn't @font-face it, as you'd be freely distributing a copyrighted font. It's included in Mac systems but not in windows/linux ones, so yes, plenty of your users wont have it installed. Anyway, you can use 'Arial Narrow' as a windows substitute, which is it's windows equivalent.
It's a default font on Macs, but rare on PCs. Since it's not technically web-safe, some people may have it and some people may not. If you want to use a font like that, without using @font-face, you may want to write it out several different ways because it might not work the same for everyone.
I like using a font stack that touches on all bases like this:
font-family: "HelveticaNeue-Light", "Helvetica Neue Light", "Helvetica Neue",
Helvetica, Arial, "Lucida Grande", sans-serif;
This recommended font-family stack is further described in this CSS-Tricks snippet Better Helvetica which uses a font-weight: 300; as well.
You can use http://www.fontsquirrel.com/fontface/generator to encode any font for websites. It'll generate the code to include the font.
I don't really use it for fonts over 30px. They look much better as an image (because images are anti-aliased, and some browsers don't anti-alias fonts in the browser).
See: http://www.truetype-typography.com/ttalias.htm
Hope that helps...
Source: Stackoverflow.com