The question was asked what is a single line font and what is so special about it. The easiest way I can think of to explain it is just to show you.
As you can see, there is a nothing wrong with using other fronts if that is the look you want. You can always color the letters in afterward but to me that sort of defeats the purpose of using the pen. I mean if you wanted thick letters then why not just cut them out and save yourself all the trouble of putting the pen in, printing and coloring them in.
I remember seeing another holder but don't recall where so I can't check to see any fonts are available on that site but the one I am familiar with is Cri-kits. I know you can buy single line fonts at Cri-kits for $3.99 (I used Cri-Kits Sans-Serif). The pens which come in several different colors as well as Metallic, Glitter, Pastel, and Swirls (I used the Red Metallic). Naturally the pen holder (which also holds the embosser) is available there.
In addition to the Cri-kits fonts there are some free single lined fonts available for download. I know Club CK has Free Font Friday and they are now offering CK Curly which appears to be a single line font. Also, don't forget to check out the blogs you follow. They may not have a font but they may provide you with information on where to get them.
Update: For more information on fonts; filling fonts, list of fonts and even how to make your own font in Inkscape (there is probably more information you ever wanted to know about fonts) please visit Kay over there at Cleaver Someday.
I hope my post cleared up some of the confusion as to why use a single line font with a pen.