Illustration software
Ed Pegg has a nice roundup of vector graphics tools, including both geometric construction software and general purpose illustration applications. I've been using Cinderella and Illustrator regularly for my own figures, and occasionally other software (Mathematica, povray) but often lately I've been writing little scripts to generate SVG directly — e.g. for my Pisa skip-quadtree talk slides, I was able to make figures of quadtrees and kd-trees algorithmically with much more detail than I would have been willing to include in a hand-drawn figure. I then use Batik or Illustrator to convert the SVG into PDF for pdflatex. The thickness-two 6d hypercube drawing I've been using as one of my icons was also produced as an SVG file in this way.
My copy of Illustrator is about a version out of date, and likely due to that its SVG support is a little wonky, but it works well enough that I haven't really felt any need to update it. Cinderella is showing its age a little, though — its great strength is robustness of the numerics in its animations, but the UI is a little clunky, and AFAIK has never been updated for OS X, so I may check out the alternatives for that type of program that Pegg lists.
My copy of Illustrator is about a version out of date, and likely due to that its SVG support is a little wonky, but it works well enough that I haven't really felt any need to update it. Cinderella is showing its age a little, though — its great strength is robustness of the numerics in its animations, but the UI is a little clunky, and AFAIK has never been updated for OS X, so I may check out the alternatives for that type of program that Pegg lists.