This came up on the msdn forum, and was answered by Microsoft's Mark Rideout:
If a font doesn't support a weight or style we currently (for v1) do not generate algorithmic bolded/italic versions of that font. This is why specifying Bold with the default font doesn't do anything.
So if you're trying to get FontWeight to work, choose something other than the default font. I must have been very tired when I did some of my xaml because I have at least 3 files with FontWeight in them :)
Here is a link to a thread with a full list of supported fonts in the CTP.
posted @ Wednesday, April 18, 2007 5:22 PM