One possibility using PGF/TikZ:
\documentclass{article}
\usepackage{tikz}
\begin{document}
\begin{tikzpicture}
\draw[->] (0,0) -- node[below] {quantized} (4.5,0) node[below] {Age};
\draw[->] (0,0) -- (0,1.5) node[left] {$\mu$};
\node at (-0.2,0) {0};
\node at (-0.2,1) {1};
\draw[fill=yellow] (0,1) -- (4,1) -- (4,0) -- (0,0) -- cycle;
\foreach \x in {0.5,1,1.5,2,2.2,3.4}
\draw (\x,0) -- (\x,1);
\begin{scope}[xshift=5.5cm]
\draw[->] (0,0) -- node[below] {granulated} (4.5,0) node[below] {Age};
\draw[->] (0,0) -- (0,1.5) node[left] {$\mu$};
\node at (-0.2,0) {0};
\node at (-0.2,1) {1};
\draw[fill=yellow!40] (0,1) -- (1,1) -- (1.75,0) -- (0,0) -- cycle;
\draw[fill=yellow!40] (2.25,0) -- (3,1) -- (4,1) -- (4,0) -- cycle;
\draw[fill=yellow!40] (1.25,0) -- (1.8,1) -- (2.3,1) -- (3,0) -- cycle;
\draw (1,1) -- (1.75,0) -- (2.25,0) -- (3,1);
\node[above,font=\footnotesize] at (0.5,1) {young};
\node[above,font=\footnotesize] at (2,1) {middle-aged};
\node[above,font=\footnotesize] at (3.5,1) {old};
\end{scope}
\node[anchor=south] at (current bounding box.north)
{\textbullet\ continuous $\rightarrow$ quantized $\rightarrow$ granulated};
\end{tikzpicture}
\end{document}

For your second question (the one about sets), can you please add to your question an image of the kind of image you are trying to produce?
tikz. Please make an attempt at the diagram and then people here can help you with any specific issues that may arise. Not sure what #2 is asking. – Peter Grill Nov 17 '12 at 19:21