Unpopular opinion: Arial is fine.
But it's that tension:
I, as a consumer, am happy with simplicity
They, as producers, want branding and differentiation (not to mention tracking and all sorts of other things)
Ultimately, and we mustn't forget this, they the producers are the ones investing effort they need a return on; and we the consumers are lousy when it comes to voting with our feet, dollars, scrolling thumbs and back buttons.
(Web fonts can be quite space-effective, if the site can serve a trimmed-down version that doesn't have the whole unicode space in them. CSS even has support for breaking the font into pieces so if a bit of unicode does slip through on some page you can still go get "the rest" of the font.)
And in the future, Incremental Font Transfer will make this even easier: https://www.w3.org/TR/IFT/