The graph export command can be used in Stata to save a graph as an Encapsulated Postscript file for use in applications like LaTeX. Here is a simple example.
use http://www.ats.ucla.edu/stat/stata/notes/hsb2, clear (highschool and beyond (200 cases)) graph twoway scatter read mathgraph export mygraph.eps (file mygraph.eps written in .eps format)
The graph export command supports a number of other graphic file formats as well, and the formats supported vary depending on whether you are using a Macintosh, Windows or Unix. You can learn more by seeing the Stata help for graph_export.