Now that Unicode is supported and everyone is looking towards version 1.6, I would like to suggest full support for XeTeX. It is currently the most comprehensive way to put Unicode characters in a TeX document. Another great feature is direct access to TrueType and OpenType fonts.
LyX would have to check if XeTeX is available, and if it is, modify the font selection dialog to allow access to additional fonts. The appropriate commands would then be included in the preamble. It would also be nice to have XeTeX font selection commands (throught the fontspec package) available from the paragraph or character style dialogs. The major limitation of XeTeX right now is poor math support, but it is possible (with the "nomath" option) to have equations passed to plain TeX/LaTeX with the standard fonts, while having the XeTeX features available in text mode. You can see some of the capabilities of the program here: http://www.ctan.org/tex-archive/macros/xetex/latex/fontspec/fontspec.pdf