save as EPS to include into Latex.
Surprise: Matlab has an awful bounding box space around the figure.
You want to autocrop it but its a vector graphics format,
so you can't use mogrify -trim +repage <filename> as you would normally
do with an image.
Solution: epstool. It does an autocrop for the EPS file:
epstool --copy --bbox input.eps output.eps
and your final plot will still look crisp.
Another option: save as PDF in matlab. Then use ImageMagick's convert to convert it to eps:
convert file.pdf file.eps
this will keep the vector graphics intact (at least in recent versions of ImageMagick).
Of course, you can always use pdflatex instead and avoid EPS altogether.