It's funny, first got to know about this a few days ago when I came across this [1, 2] interesting thread on Quora.

[1] http://qr.ae/sQnm5

[2] What is the most compressed file ever?

+1 for tikZ. I graphically present information using R plots and R's tikzDevice package enables me to export output to native TeX. I NEED tikZ to include external R TeX exports. When it comes to vector graphics, Dia is my friend and I export output as LaTeX PGF macros...

Dia has an option to flawlessly export output as LaTeX PGF macros and TeX PSTricks macros--I LOVE those two features. In the past, I've also used LaTeX Draw.