Like Peter T Breuer, I also use gnuplot a lot to produce plots. Gnuplot can produce good quality EPS output that can be directly embedded in papers written using TeX/LaTeX.
I also use Microsoft Excel (I know, I know). I found that the best way to get a good quality EPS out of Excel is to export the chart as a PDF; use the Unix/Linux command-line utility (available in most Linux distributions) pdftops (not to be confused with pdf2ps!) to convert it to a PostScript file (NOT an EPS file); run ps2epsi to convert it to an EPS with preview; and then just (if necessary) use the a text editor that does not mess up formatting or non-printable content to remove the preview section to make the file smaller. There are other ways to produce an EPS file from Excel, but the none of the methods I am familiar with produced the same quality output (e.g., fonts were replaced with bitmap representations, resulting in an ugly, non-scalable image).
An important point is always to distinguish bitmap images from scalable line art. When decent plotting software (like gnuplot or Excel) produce a PostScript file, the chart is represented as a series of drawing instructions that can be scaled to any size. This is not the same as a pixel bitmap, which may be used, e.g., for a photograph. An EPS file can contain either, but it is a very bad idea to convert line art into a bitmap image for presentation, as this necessarily leads to a (possibly significant) loss in quality.
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