R and LaTeX PDF graphics

When writing a document in LaTeX that makes use of figures from R, I want to produce a PDF with

• vector graphics,
• consistent fonts,
• not to mess around overlaying text in LaTeX,

and maybe typeset math in the R graphics. This post surveys the state of the art in how to achieve the best of all worlds when importing graphics generated by R into documents typeset to PDF with LaTeX. I look at postscript and PDF figures generated by R’s X11, Cairo, and finally the new (and awesome) TikZ devices.