At Sage Days 9, I (DanDrake) gave two talks on using graphics with LaTeX. The slides, in source and PDF format, are available here. PDF of my first talk: graphics-talk-1.pdf , and LaTeX source (and images) of my first talk: sd9-talk-1.tar.gz .
PDF of the second talk: graphics-talk-2.pdf and source file: graphics-talk-2.tex . The materials for both talks are licensed under the Creative Commons Attribution-Share Alike 3.0 Unported License.
*CORRECTION!* In the second talk, I claimed that the arXiv does not support TikZ. I am very glad to be wrong about this; you *can* submit papers with TikZ figures to the arXiv -- see arxiv:0708.0245 for an example. They may not have the newest version of PGF/TikZ, though.
A note of warning: you really need PGF/TikZ version 2.00 to compile the slides from the first talk. Right now, TeXShop doesn't include this, and nor does Ubuntu Hardy. (Intrepid, version 8.10, has the necessary version). I have no idea what the state of affairs is with Windows. To fix this in OS X:
extract the package. You get a directory pgf-2.00
create the directories ~/Library/texmf/tex/generic
move the pgf-2.00 directory into the generic directory you just created.
in a terminal, go to the ~/Library/texmf directory and run "texhash ." (note the dot!)
In Ubuntu, it's almost the same thing, but create a directory /usr/local/share/texmf/tex/generic and put the PGF package there, just as above, and run "sudo texhash ." from the texmf directory.
In Windows you are on your own. Free free to edit this page if you know what to do.
This all seems very complicated, and it is because (1) a complete TeX system relies on tens of thousands of files, and (2) the system for finding the right file dates to the 80's. If you'll pardon the massive understatement, it's a bit crufty.