I usually create figures for my articles in Matlab: various plots of numerical and analytical solutions. One thing that I don't like about it is that the font is different in the figure and in the resulting paper. Another thing is that it is a pain to put nicely typeset math into the figure directly.
My solution: psfrag.
psfrag allows text in a postscript file to be replaced by LaTeX so I would put a label
AA (for example) where I want it in the figure, and then in LaTeX write
This isn't such a great solution because it depends on
psfrag (and journals do not like that), so I use fragmaster.pl which creates the modified pdf and eps files locally from the master file and an auxiliary file with the
\psfrag commands...I then
\includegraphics these generated files in my article.
This solution is a little roundabout, and so I'll repeat my question from the title:
What is your complete solution for generating nice figures using an external program (for example Matlab)?
After several answers were posted I noticed that none specifically addressed the issue of journals. Several times I've had editors come back to me saying something to the effect of "we'd like to publish your paper, please make sure that the figures you give us are in final form and no changes happen to them during typesetting"...
If would be so kind (and if you know the answer) please modify your answer to include information relating to how journals like your solution.