Note that under Windows XP and Mac OSX you automatically get Hebrew, Greek and translitteration fonts (very complete fonts are Aral Unicode MS and Lucida Grande, respectively), but for various reasons the fonts below are better. Syriac and Coptic are usually not present in standard font sets, so you have to download them. Be sure to read the documentation accompanying the font packages!
SBL Hebrew font of the Society of Biblical Literature.
Syriac Meltho fonts of Beth Mardutho. Note: either fill out the personal information completely or not at all, otherwise you get an error message.
New Athena Unicode of the American Philological Association with Coptic; SBL Greek font of the Society of Biblical Literature.
Charis SIL, a nice translitteration font.
Translitteration, Greek and Coptic at the Institut français d'archéologie orientale, which I did not try out yet, though it looks very promising.