Like any other aesthetic decision it's difficult to provide hard rules to follow. The best advice I can give is to know the available web safe fonts very well and use those until the design is in the polishing stage.

Starting out with Helvetica, Times, Georgia, etc will give you a good feel for what type of font you need. After that, looking for similar fonts that you feel go well with your message should be easier.

Any font will benefit immensely from the subtle shadows and other css3 effects you can provide when using it for headlines. Once those effects are in place with an FPO font it'll be simpler to pick the font they should be effecting.