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I want to create a few plots that should have the same style as my main document and it seems tikz is more than capable of achieving that.

Now while browsing the current tikz documentation (2.10 CVS) I found a long new section about data visualization. On the other hand there is the extra package pgfplots which seems at a first glance very similar but contains more plot types.

So what is recommend? What are the differences between the two approaches?

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pgfplots is based on tikz, and would be recommended by a lot of folks for data visualization and plotting functions; have a look at generating-dozens-of-graphs for examples of how to style –  cmhughes Aug 7 '12 at 23:22
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The long new section about data visualization in pgfmanual v2.10 CVS is experimental. –  Paul Gaborit Aug 7 '12 at 23:44

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The "long new section about data visualization" in pgfmanual v2.10 CVS is experimental.

So, as this new version of TikZ is not released, it is recommended to use pgfplots.

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