Since moving to LaTeX, I have had many moments of "ohhh, that's how they made X look so nice." The most recent is "pstricks." This package lets you develop professional looking figures relatively easily.
I am still working on getting the output to work in PDF rather than PS - but otherwise I am quite happy with it. I think it looks much nicer than the standard STATA figure.
Here is an example image of a figure. It only takes about 7 lines of code.

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