The creation of really beautiful and publishable graphs with Matlab is not easy but possible.
However once you want to export your file you run into many problems, which are based on build in problems (bugs) of Matlab which have not been fixed since years.

The two most important bugs are the missing font support and wrong linestyles.

The function 'latexfigure' is an approach to solve this problem. It is basically a wrapper to several existing functions for the solution of these problems.

It was inspired by mlf2pdf and uses matlabfrag to get around the
eps font problem. However I had to patch matlabfrag to support also non math fonts.

The linestyles are corrected using the ‘fix_lines.m’ script from export_fig.

The major drawback of this approach is that it requires a complete LaTeX collection to create a pdf version of the figure, which can than be converted afterwards in the target format using ghostscript.

The code is hosted at https://code.google.com/p/latexfigure/