Links are set in Helvetica Neue, Helvetica, Arial, or failing those, another sans-serif font that your browser likes.
The rest of the text is displayed in ET Book - a custom font commissioned by Edward Tufte for use in his later books and essays. It's modeled after Monotype Bembo, adjusted for modern print and multimedia use.
ET Book was designed by Dmitry Krasny, Bonnie Scranton, and Edward Tufte, and converted to TrueType and web formats by Adam Schwartz. It was generously released for use in both personal and commercial use under the MIT License, and is available from Github.
And While You're Here
Mr. Tufte's books are not only a visual feast, but are insightful, informative, and should be required reading for anyone involved with presenting data. He also offers highly-acclaimed one-day courses. We've heard nothing but glowing reviews.
If your job includes presentations or public speaking, you should consider reading Garr Reynold's Presentation Zen, book (and website) as well as the works of Edward Tufte. If you take the lessons given to heart and spend some time rehearsing you'll be unstoppable. (That's our opinion, not a guarantee – "your milage may vary", "caveat emptor", et cetera.)