I love R--but I end up using Stata more often because it is easier to produce vector graphics that can be imported to Illustrator. I wish that the R community would start to focus on graphics.
I've had some success with output from lattice using Cairo's SVG option, although you're right that it's never easy. Self-citing, the plots in these pubs were generated as above (JoCN may be behind a paywall):
http://www.frontiersin.org/human_neuroscience/10.3389/fnhum.... http://www.mitpressjournals.org/doi/abs/10.1162/jocn_a_00089
I'll need to give Stata a look, too.