This information contributed by Edray Goins.

To use Mathematica via X Windows you must either have a local copy of or a font path directed to the following two directories:

/pkgs/mathematica/SystemFiles/Fonts/BDF/
/pkgs/mathematica/SystemFiles/Fonts/Type1/

For example, on a Macintosh running X11 these folders should be copied and placed in the directory:

/usr/X11R6/lib/X11/fonts/

This way Mathematica will load without any error messages on missing fonts.