When I first started using LaTeX, this was the first thing I noticed. I believe there are several factors contributing to this:
Font formats have many variations (eg: OpenType, Type 1). The main difference is between bitmap (raster) fonts, vector (outline) fonts and stroke fonts. Bitmap fonts don't scale well and will look pixelated or blurry (depending on things like anti-aliasing) when scaled. LaTeX likes vector fonts best (especially Postscript fonts), and most formats you’ll use will be vector fonts. Type 1, Type 3, TrueType and OpenType are all formats for outline fonts and can be used with LaTeX.
In my experience there is always a difference in font rendering between programs and operating systems. Let's compare some text in Linux Libertine as rendered by several programs:
As you can see the rendering is slightly different for each program. This depends on several factors (the resolution settings for each program for example, this was with a DPI of 101 pixels/inch).
The rendering engines are different between each program and each computer, which can result in fuzzy or pixelated fonts. For example, some time ago I compared the (default) CJK font rendering in Windows 7 and Mac OSX:
In the end, ‘fuzzyness’ is determined by what you like. Some people dislike the ‘fuzzyness’ of Mac OS X, others prefer it and think other fonts look pixelated. It’s important to note you can change your system preferences to suit your needs.
For some more information on how fonts are displayed, see the following pages on Wikipedia: