In the genomics field people often produce something called Manhattan plot which consists of points standing for millions of p-values:
It's very slow for display in vector format, some viewers simply cannot deal with it, but a raster image is much easier to open in this case, but of course we love vector graphics infinitely better ;) .
At the bottom of the plot we can see the density of points are so high that we can join them into a filled area, which should reduce the calculation burden immensely.
How can this be done in TeX? As suggested by one of the answers, it should be possible to get a union of nearby points in a vector graphic editor, but it will take a lot of work. Ideally, one would like to see each point as a path, and during the ploting process, the union operation to be executed point by point, thus in the end the whole plot will be simplified to the largest degree.