Thanks to the issue report by yufree and Yihui’s kind work, from version 1.6.10 (development version), knitr starts to support using showtext to change fonts in R plots. To demonstrate its usage, this document itself serves as an example. (Rmd source code) We first do some setup work, mainly about setting options that control the appearance of the plots. Notice that if you create plots in PNG format (the default format for HTML output), it is strongly recommended to use the CairoPNG device rather than the default png, since the latter one could produce quite ugly plots when using showtext.
This is a pretty old topic in R graphics. A classical article in R NEWS, Non-standard fonts in PostScript and PDF graphics, describes how to use and embed system fonts in the PDF/PostScript device. More recently, Winston Chang developed the extrafont package, which makes the procedure much easier. A useful introduction article can be found in the readme page of extrafont, and also from the Revolution blog. Now, we have another choice: the showtext package.